Barrier Option Pricing Using Adjusted Transition Probabilities
Barrier Option Pricing Using Adjusted Transition Probabilities
Barrier Option Pricing Using Adjusted Transition Probabilities
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
MotivationNew ApproachResultsComparisonWhat is new?Down-out Call with Linear <strong>Barrier</strong>Convergence BehaviourDouw-out European Call with Linear <strong>Barrier</strong>S=100, K=100, vol=25%, rf=10%, Intercept=95, slope=1010Trinomial Tree (unadjusted)Trinomial Tree (adjusted)98<strong>Option</strong> Price76541 45 89 133 177 221 265 309 353 397 441 485 529 573 617 661 705 749 793 837 881 925 969Number of Steps in TreeG. Barone-Adesi, N. Fusari, J. Theal <strong>Barrier</strong> <strong>Option</strong> <strong>Pricing</strong> <strong>Using</strong> <strong>Adjusted</strong> <strong>Transition</strong> <strong>Probabilities</strong>
Change language