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An Example of Markov Chain and multinominal option pricing 1.0

  Date Added: September 05, 2013  |  Visits: 232

An Example of Markov Chain and multinominal option pricing

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As a coursework, we are required to price a double barriers knock-in binary put option. We used finite difference method in 24 ways and multinomial lattice in 12 ways. We also implemented analytic and Markov chain method. At the end, we compared these four methods and Monte Carlo method.In this coursework, we discussed the speed, convergence rate and monotonicity of convergence for these

Requirements: No special requirements
Platforms: Matlab
Keyword: Analytic Barriers Binary Carlo Chain Compared Convergence Discussed Double Implemented Knockin Markov Methodin Methods Monotonicity Monte Price Required Speed
Users rating: 0/10

License: Freeware Size: 358.4 KB
AN EXAMPLE OF MARKOV CHAIN AND MULTINOMINAL OPTION PRICING RELATED
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