Accuracy and reliability considerations of option pricing algorithms

Journal of Futures Markets

Volumn 21, Issue 10, 2001, Pages 875-903

  Kwok, Yue Kuen ^a   Lau, Ka Wo ^a  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035597714     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.2001     Document Type: Article

References (16)

1. AitSahlia, F., & Carr, P. (1997). American options: A comparison of numerical methods. In L. C. G. Rogers & D. Talay (Eds.), Numerical methods in finance (pp. 67-87). Cambridge, UK: Cambridge University Press.
2. Babbs, S. (2000). Binomial valuation of lookback options. Journal of Economic Dynamics & Control, 24, 1499-1525.
3. Barraquand, J., & Pudet, T. (1996). Pricing of American path-dependent contingent claims. Mathematical Finance, 6, 17-51.
4. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-659.
5. Broadie, M., & Detemple, J. (1997). Recent advances in numerical methods for pricing derivative securities. In L. C. G. Rogers & D. Talay (Eds.), Numerical methods in finance (pp. 43-66). Cambridge, UK: Cambridge University Press.
6. Broadie, M., Glasserman, P., & Kou, S. (1999). Connecting discrete and continuous path-dependent options. Finance and Stochastics, 3, 55-82.
7. Boyle, P. P. (1988). A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis, 23, 1-12.
8. Boyle, P. P., Broadie, M., & Glasserman, P. (1997). Monte Carlo methods for security pricing. Journal of Economic Dynamics and Control, 21, 1267-1321.
9. Boyle, P. P., & Tian, Y. (1998). An explicit finite difference approach to the pricing of harrier options. Applied Mathematical Finance, 5, 17-43.
10. Büttler, H. J. (1995). Evaluation of callable bonds: Finite difference methods, stability and accuracy. Economic Journal, 105, 374-384.
11. Cheuk, T. H. F., & Vorst, T. C. F. (1996). Complex barrier options. Journal of Derivatives, 8-22.
12. Cheuk, T. H. F., & Vorst, T. C. F. (1997). Currency lookback options and observation frequency: A binomial approach. Journal of International Money and Finance, 16, 173-187.
13. Cox, J. C., Ross, S., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7, 229-264.
14. Crank, J., & Nicolson, P. (1947). A practical method for numerical evaluation of solutions of partial differential equations of the heat conduction type. Proceedings of the Cambridge Philosophical Society, 43, 50-67.
15. Figlewski, S., & Gao, B. (1999). The adaptive mesh model: A new approach to efficient option pricing. Journal of Financial Economics, 53, 313-351.
16. Geske, R., & Johnson, H. E. (1984). The American put option valued analytically. Journal of Finance, 39, 1511-1524.