Nine ways to implement the binomial method for option valuation in MATLAB

SIAM Review

Volumn 44, Issue 4, 2002, Pages 661-677

  Higham, Desmond J ^a  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

Author keywords

Algorithm; American option; Black scholes; European option; Optimization; Overflow; Underflow; Vectorization

Indexed keywords

ALGORITHMS; CALCULATIONS; COMPUTER SIMULATION; FINANCIAL DATA PROCESSING; HIGH LEVEL LANGUAGES; PARTIAL DIFFERENTIAL EQUATIONS; PROGRAM COMPILERS; SEMANTICS; STUDENTS; VECTORS; WORLD WIDE WEB;

AMERICAL OPTION; BINOMIAL COEFFICIENT EXPANSION METHOD; BLACK-SCHOLES FORMULA; EUROPIAN OPTION; OPTION VALUATION; PSEUDOCODE TRANSLATION; VECTORIZATION;

MATHEMATICAL PROGRAMMING;

EID: 0036961580     PISSN: 00361445     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036144501393266     Document Type: Article

References (9)

1. J. C. Cox, S. A. Ross, and M. Rubinstein, Option pricing: A simplified approach, J. Financial Economics, 7 (1979), pp. 229-263.
2. J. J. Dongarra, I. S. Duff, D. C. Sorensen, and H. A. van der Vorst, Numerical Linear Algebra for High-Performance Computers, SIAM, Philadelphia, 1998.
3. G. H. Golub and C. F. Van Loan, Matrix Computations, 3rd ed., Johns Hopkins University Press, Baltimore, London, 1996.
4. D. J. Higham and N. J. Higham, MATLAB Guide, SIAM, Philadelphia, 2000.
5. J. C. Hull, Options, Futures, & Other Derivatives, 4th ed., Prentice-Hall, Englewood Cliffs, NJ, 2000.
6. Y. K. Kwok, Mathematical Models of Financial Derivatives, Springer-Verlag, Berlin, 1998.
7. Using MATLAB, The MathWorks, Inc., Natick, MA. Online version.
8. S. M. Ross, An Introduction to Mathematical Finance, Cambridge University Press, Cambridge, UK, 1999.
9. P. Wilmott, S. Howison, and J. Dewynne, The Mathematics of Financial Derivatives, Cambridge University Press, Cambridge, UK, 1995.