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dc.contributor.authorDai, Tian-Shyren_US
dc.contributor.authorLiu, Li-Minen_US
dc.contributor.authorLyuu, Yuh-Dauhen_US
dc.date.accessioned2014-12-08T15:12:13Z-
dc.date.available2014-12-08T15:12:13Z-
dc.date.issued2008-05-01en_US
dc.identifier.issn0898-1221en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.camwa.2007.08.046en_US
dc.identifier.urihttp://hdl.handle.net/11536/9372-
dc.description.abstractOptions are popular financial derivatives that play essential roles in financial markets. How to price them efficiently and accurately is very important both in theory and practice. Options are often priced by the lattice model. Although the prices computed by the lattice converge to the theoretical option value under the continuous-time model, they may converge slowly. Worse, for some options like barrier options, the prices can even oscillate wildly. For Such options, huge amounts of computational time are required to achieve acceptable accuracy. Combinatorial techniques have been used to improve the performance in pricing a wide variety of options. This paper uses vanilla options, power options, single-barrier options, double-barrier options, and lookback options as examples to show how combinatorics can help us to derive linear-time pricing algorithms. These algorithms compare favorably against popular lattice methods, which take at least quadratic time. (C) 2007 Elsevier Ltd. All rights reserved.en_US
dc.language.isoen_USen_US
dc.subjectoptionen_US
dc.subjectpricingen_US
dc.subjectlatticeen_US
dc.subjectcombinatoricsen_US
dc.subjectexotic optionen_US
dc.titleLinear-time option pricing algorithms by combinatoricsen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.camwa.2007.08.046en_US
dc.identifier.journalCOMPUTERS & MATHEMATICS WITH APPLICATIONSen_US
dc.citation.volume55en_US
dc.citation.issue9en_US
dc.citation.spage2142en_US
dc.citation.epage2157en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000255328500021-
dc.citation.woscount3-
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