Barrier option valuation question

mywil05 · May 20th, 2005, 8:12 pm

Suppose we use Binomial tree model to price Barrier option, what's the convergence speed of the computed option value with respect to the true value?

JuanPablo · May 23rd, 2005, 7:17 pm

Pls look in one of Dietmar Leissen's papers (example: random time binomial model).Regards

rhmari · May 27th, 2005, 10:40 am

hiif u need a barriere option pricer,i can send it to you with the Excel VBA codeyou just have to ask...

Khatchaoli · June 3rd, 2005, 2:13 pm

Hi, I would be interested. Is it Monte Carlo based? Olivier

Apoelara · July 5th, 2005, 1:19 pm

Test.

wstguru · July 6th, 2005, 7:48 am

Hi rhmari, could u please share the file?thanks

xDan · July 6th, 2005, 11:34 am

It could be nice to use discrete to continus correction on the tree to price Barrier option, this will speed up the convergence!

Randor · February 12th, 2006, 8:41 pm

could you send me the code too?