Binomial tree method for option pricing: Discrete cosine transform approach
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DOI: 10.1016/j.matcom.2022.02.032
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Cited by:
- Liu, Hanjie & Zhu, Yuanguo, 2024. "Carbon option pricing based on uncertain fractional differential equation: A binomial tree approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 225(C), pages 13-28.
- Allan Jonathan da Silva & Jack Baczynski, 2024. "Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives," Computational Management Science, Springer, vol. 21(1), pages 1-32, June.
- Guillaume Leduc & Kenneth Palmer, 2023. "The Convergence Rate of Option Prices in Trinomial Trees," Risks, MDPI, vol. 11(3), pages 1-33, March.
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Keywords
Discrete cosine transform (DCT); Option valuation; Binomial tree; Exponential jump–diffusion; Exponential CGMY model;All these keywords.
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