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American option valuation and computation a comparative study

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american option valuation and computation a comparative study

Communications in Applied Sciences. User Username Password Remember me. Information For Readers For Authors For Librarians. Journal Content Search All Authors Title Comparative Index terms Full Text Browse By Issue By Author By Title Other Journals. Home American Log In Register Option Current Archives Editorial Board Indexing Contact. On the Comparative Study of Some Numerical Methods for Vanilla Option Valuation. Abstract This paper presents some numerical methods for vanilla option valuation namely binomial tree model, Crank Nicolson method and Monte Carlo method. Binomial model is and used in the finance community for numerical valuation of a valuation variety of option models, due primarily to its ease of implementation and pedagogical appeal. Crank Nicolson approach seeks the discretization of the differential operators in the continuous Black Scholes model. Monte Carlo method simulates the computation movement of the asset prices and provides a probabilistic study to the option pricing models. We discuss the strengths, drawbacks and the performance of the methods under consideration. However, binomial model is the most accurate and converges faster than its two counterparts; Crank Nicolson method and Monte Carlo method. All Authors Title Abstract Index terms Full Text. american option valuation and computation a comparative study

FRM: Determination of Forward & Futures Prices Part I (of 2)

FRM: Determination of Forward & Futures Prices Part I (of 2)

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