Looking Forward to Pricing Options from Binomial Trees
AbstractWe reconsider the valuation of barrier options by means of binomial trees from a "forward looking" prospective rather than the more conventional "backward induction" one used by standard approaches. Our reformulation allows us to write closed-form expressions for the value of European and American put barrier-options on a non-dividend-paying stock.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0004009.
Length: 12 pages
Date of creation: 17 Aug 2000
Date of revision:
Note: Type of Document - tar/gz; prepared on UNIX Sparc TeX; to print on PostScript; pages: 12 ; figures: included
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Binomial trees; barrier options;
Find related papers by JEL classification:
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- D9 - Microeconomics - - Intertemporal Choice and Growth
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