The Boyle–Romberg Trinomial Tree, a Highly Efficient Method for Double Barrier Option Pricing
Oscillations in option price convergence have long been a problematic aspect of tree methods, inhibiting the use of repeated Richardson extrapolation that could otherwise greatly accelerate convergence, a feature integral to some of the most efficient modern methods. These oscillations are typically...
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| Format: | Artigo |
| Sprache: | Inglês |
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MDPI AG
2024-03-01
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| Schriftenreihe: | Mathematics |
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| Online-Zugang: | https://www.mdpi.com/2227-7390/12/7/964 |
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