WebFeb 21, 2005 · Barraquand et al. (1996) presented the so-called forward shooting grid method, which is a modification of binomial tree method, to cope with arithmetic average options. In this paper, using numerical analysis and the notion of viscosity solutions, we present a unifying theoretical framework to show the uniform convergence of binomial … WebNov 30, 2012 · A Forward Shooting Grid Method for Option Pricing with Stochastic Volatility. One of the most common sources of path dependency in derivatives arises when the volatility is stochastic. This is apparent in the basic binomial model, where time-varying volatility causes the lattice to splinter rather than recombine, leading to n 2 different …
A Forward Shooting Grid Method for Option Pricing with …
WebMay 28, 2008 · In this paper we develop a set of innovative forward-shooting algorithms that solve for the global nonlinear saddle path in models with 1–3 jump variables. … WebThe pricing problem of LookBack Options as well as exotic options continues to be a problem that keeps the academia very busy. Many methods have been suggested, ranging from the use of the classical Black-Scholes Model to more complex means like the Binomial Model and the Forward Shooting Grid method. Right now, until LookBack Options … incoterm full form
Convergence of Binomial Tree Methods for European/American …
WebApr 18, 2013 · The forward shooting grid (FSG) involves augmenting an auxiliary state vector (representing the possible values that can be taken by the path-dependent state variable) at each node in the unusual lattice tree, in order to solve the two-dimensional pricing problem embodied in the underlying geometric Brownian motion price and its … Webnomial approximation. At the end of this section, we consider the forward shooting grid approach of pricing path dependent options. 6.1.1 Binomial model revisited In the … WebFeb 21, 2005 · By introducing an additional path-dependent variable, such method can be readily extended to the valuation of path-dependent options. Barraquand et al. (1996) … incoterm free delivery