Open AccessInvestigation of the barrier options pricing models
Author(s) -
Rita Palivonaitė,
Eimutis Valakevičius
Publication year - 2009
Publication title -
lietuvos matematikos rinkinys
Language(s) - English
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.2009.57
Subject(s) - trinomial , trinomial tree , binomial options pricing model , black–scholes model , computer science , valuation of options , econometrics , financial economics , mathematics , economics , volatility (finance) , discrete mathematics
In the article three methods of barrier option pricing are analysed and compared: Black–Scholes, trinomial ant adaptive mesh algorithm. Investigation with Lithuanian firm’s stock showed, that to get better results it is offered to adapt higer resolution mesh on critical regions of trinomial tree.