Numerical Valuation of Discrete Barrier Options with the Adaptive Mesh Model and Other Competing Techniques
Date Issued
2005
Date
2005
Author(s)
Shea, Chih-Jui
DOI
20060927122838382151
Abstract
This thesis develops an Adaptive Mesh Model for pricing discrete double barrier options. Adaptive Mesh Model is a kind of trinomial tree lattice that applying higher resolution to where nonlinearity errors occur. After the Adaptive Mesh Model for discrete single barrier options was proposed in 1999 by Ahn, Figlewski, & Gao, there is no further research has been done in Adaptive Mesh Model for discrete barriers...
Subjects
Adaptive Mesh
numerical valuation techniques
discrete barrier options
double barrier options
trinomial trees
enhanced trinomial trees
BGK model
quadrature method
option pricing
Publisher
臺北市:國立臺灣大學資訊工程學系
Type
report
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Format
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