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Barrier option valuation question
Posted: May 20th, 2005, 8:12 pm
by mywil05
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?
Barrier option valuation question
Posted: May 23rd, 2005, 7:17 pm
by JuanPablo
Pls look in one of Dietmar Leissen's papers (example: random time binomial model).Regards
Barrier option valuation question
Posted: May 27th, 2005, 10:40 am
by rhmari
hiif u need a barriere option pricer,i can send it to you with the Excel VBA codeyou just have to ask...
Barrier option valuation question
Posted: June 3rd, 2005, 2:13 pm
by Khatchaoli
Hi, I would be interested. Is it Monte Carlo based? Olivier
Barrier option valuation question
Posted: July 5th, 2005, 1:19 pm
by Apoelara
Test.
Barrier option valuation question
Posted: July 6th, 2005, 7:48 am
by wstguru
Hi rhmari, could u please share the file?thanks
Barrier option valuation question
Posted: July 6th, 2005, 11:34 am
by xDan
It could be nice to use discrete to continus correction on the tree to price Barrier option, this will speed up the convergence!
Barrier option valuation question
Posted: February 12th, 2006, 8:41 pm
by Randor
could you send me the code too?