Convergence Comparison of GCRR and Ritchken Models
Date Issued
2007
Date
2007
Author(s)
Chen, Tzu-chun
DOI
en-US
Abstract
In this thesis, we implement the GCRR model (Generalized Cox-Ross-Rubinstein binomial model) provided by Chung and Shih to price single-barrier options and double-barrier options. We compare the pricing results of the GCRR model with the Ritchken model. We find that although the Ritchken model converges to true price more quickly, the speed of calculation of the GCRR model is faster than the Rithcken model and uses less space. Moreover, we suggest a way similar to Ritchekn (1991) to pricing double-barrier options under the GCRR model.
Subjects
單障礙選擇權
雙障礙選擇權
GCRR模型
CRR模型
二元樹模型
三元樹模型
Ritchken模型
收斂
Single-Barrier Option
Double-Barrier Option
GCRR Model
CRR Model
Binomial Models
Trinomial Models
Ritchken Models
Convergence
Type
thesis
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