On the Comparative Study of Some Numerical Methods for Vanilla Option Valuation
作者: Sunday Emmanuel FadugbaChuma Raphael Nwozo
刊名: Communications in Applied Sciences, 2014, Vol.2 (1)
来源数据库: Infinity Press
原始语种摘要: This paper presents some numerical methods for vanilla option valuation namely binomial tree model, Crank Nicolson method and Monte Carlo method. Binomial model is widely used in the finance community for numerical valuation of a wide 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 random movement of the asset prices and provides a probabilistic solution 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...
全文获取路径: Infinity Press  (合作)

  • binomial 二项式
  • option 选择
  • valuation 评价
  • pricing 定价
  • prices 行情
  • finance 金融
  • discuss 议论
  • Black 布莱克
  • probabilistic 概率的
  • Crank 起重机