THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS

Elisa Appolloni (), Marcellino Gaudenzi () and Antonino Zanette ()
Additional contact information
Elisa Appolloni: MEMOTEF, Università di Roma Sapienza, Via del Castro Laurenziano 9, Roma, Italy
Marcellino Gaudenzi: Dipartimento di Scienze Economiche e Statistiche, Università di Udine, Via Tomadini 30/A, Udine, Italy
Antonino Zanette: Dipartimento di Scienze Economiche e Statistiche, Università di Udine, Via Tomadini 30/A, Udine, Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2014, vol. 17, issue 06, 1-26

Abstract: We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier options and permits the valuation of step double barrier options with American features. We provide a complete convergence analysis of the proposed lattice algorithm in the European case.

Keywords: Step double barrier options; American options; binomial method; interpolation; rate of convergence (search for similar items in EconPapers)
Date: 2014
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024914500356
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:17:y:2014:i:06:n:s0219024914500356

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024914500356

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().