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Looking Forward to Pricing Options from Binomial Trees (2008)
by
Dario Villani A
,
Andrei E. Ruckenstein B
BibTeX
@MISC{A08lookingforward,
author = {Dario Villani A and Andrei E. Ruckenstein B},
title = {Looking Forward to Pricing Options from Binomial Trees},
year = {2008}
}
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Abstract
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. This reformulation allows us to write closed-form expressions for the value of European and American put barrier-options on a non-dividend-paying stock. 1 I.
