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- W3123297581 abstract "Pricing and hedging barrier options using a binomial lattice can be quite delicate. If the barrier is not constant, or if there are multiple barriers, then in all likelihood binomial lattices will produce erroneous answers even when a large number of time steps are used. While in some cases the time partitions of the binomial method can be carefully chosen so as to reduce the bias, for many barrier contracts more efficient procedures exist. This article explains how a very simple and extremely efficient trinomial lattice procedure can be used to price and hedge most types of exotic barriers." @default.
- W3123297581 created "2021-02-01" @default.
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- W3123297581 date "1998-07-13" @default.
- W3123297581 modified "2023-09-23" @default.
- W3123297581 title "On Pricing Barrier Options" @default.
- W3123297581 hasPublicationYear "1998" @default.
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