Investigation of the barrier options pricing models
Articles
Rita Palivonaitė
Kauno technologijos universitetas
Eimutis Valakevičius
Kauno technologijos universitetas
Published 2009-12-20
https://doi.org/10.15388/LMR.2009.57
PDF

Keywords

barrier option
trinomial tree
adaptive mesh algorithm

How to Cite

Palivonaitė R. and Valakevičius E. (2009) “Investigation of the barrier options pricing models”, Lietuvos matematikos rinkinys, 50(proc. LMS), pp. 322–327. doi: 10.15388/LMR.2009.57.

Abstract

In the article three methods of barrier option pricing are analysed and compared: Black–Scholes, trinomial ant adaptive mesh algorithm. Investigation with Lithuanian firm’s stock showed, that to get better results it is offered to adapt higer resolution mesh on critical regions of trinomial tree.

PDF
Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Please read the Copyright Notice in Journal Policy