𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the analytical/numerical pricing of American put options against binomial tree prices

✍ Scribed by Joshi, Mark; Staunton, Mike

Book ID
118743155
Publisher
Taylor and Francis Group
Year
2012
Tongue
English
Weight
192 KB
Volume
12
Category
Article
ISSN
1469-7688

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πŸ“œ SIMILAR VOLUMES

Trinomial or binomial: Accelerating Amer
Trinomial or binomial: Accelerating American put option price on trees
✍ Jiun Hong Chan; Mark Joshi; Robert Tang; Chao Yang πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 106 KB

## Abstract We investigate the pricing performance of eight trinomial trees and one binomial tree, which was found to be most effective in an earlier study, under 20 different implementation methodologies for pricing American put options. We conclude that the binomial tree, the Tian third‐order mom

Canonical distribution, implied binomial
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✍ Qiang Liu; Shuxin Guo πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 123 KB

In this study, a new approach to pricing American options is proposed and termed the canonical implied binomial (CIB) tree method. CIB takes advantage of both canonical valuation (Stutzer, 1996) and the implied binomial tree method (Rubinstein, 1994). Using simulated returns from geometric Brownian