Pricing Discrete Double-Barrier Options with the Quadrature Method
碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === This thesis develops a fast and accurate quadrature method for pricing discrete double-barrier options. In this method, discrete barrier options are valued with only one time step between observations, resulting in significant improvement in speed. Accuracy is g...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | en_US |
Published: |
2005
|
Online Access: | http://ndltd.ncl.edu.tw/handle/45220691929647205596 |
Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === This thesis develops a fast and accurate quadrature method for pricing discrete double-barrier options. In this method, discrete barrier options are valued with only one time step between observations, resulting in significant improvement in speed. Accuracy is greatly enhanced by allowing nodes to be placed exactly on the barriers. Finally, the flexibility of the method makes it capable of dealing with additional features, such as moving barrier or even when the initial price is very close to the barrier (the so-called barrier-too-close problem). All these merits make the method an important addition to the existing tools.
|
---|