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The adaptive mesh model: a new approach to efficient option pricing

✍ Scribed by Stephen Figlewski; Bin Gao

Book ID: 114221658
Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 526 KB
Volume: 53
Category: Article
ISSN: 0304-405X
DOI: 10.1016/s0304-405x(99)00024-0

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## Abstract This article presents a log‐transformed trinomial approach to option pricing and finds that various numerical procedures in the option pricing literature are embedded in this approach with choices of different parameters. The unified view also facilitates comparisons of computational ef