Looking Forward to Pricing Options from Binomial Trees
We 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.
|Date of creation:||17 Aug 2000|
|Note:||Type of Document - tar/gz; prepared on UNIX Sparc TeX; to print on PostScript; pages: 12 ; figures: included|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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