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A barrier option is an option that its payoff depending on whether the underlying asset’s price reaches a certain price level H called ”barrier”. Analytically, to price single barrier option, we assume that the asset price is continuously monitored. But in the market, the asset pr...
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id-itb.:199782017-09-27T11:43:13Z#TITLE_ALTERNATIVE# ALVINA MENTANG (NIM : 10112040) , CERI Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/19978 A barrier option is an option that its payoff depending on whether the underlying asset’s price reaches a certain price level H called ”barrier”. Analytically, to price single barrier option, we assume that the asset price is continuously monitored. But in the market, the asset price is discretely monitored and there is no close-form solution.In this final project, Adaptive Mesh Model as a numerical method is used to price discrete barrier option. Not only to price discrete single barrier option, but also to price discrete double barrier option. Besides, we compare Adaptive Mesh Model with tree lattice methods (Hull’s trinomial lattice) and quadrature method in accuracy. text |
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A barrier option is an option that its payoff depending on whether the underlying asset’s price reaches a certain price level H called ”barrier”. Analytically, to price single barrier option, we assume that the asset price is continuously monitored. But in the market, the asset price is discretely monitored and there is no close-form solution.In this final project, Adaptive Mesh Model as a numerical method is used to price discrete barrier option. Not only to price discrete single barrier option, but also to price discrete double barrier option. Besides, we compare Adaptive Mesh Model with tree lattice methods (Hull’s trinomial lattice) and quadrature method in accuracy. |
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Final Project |
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ALVINA MENTANG (NIM : 10112040) , CERI |
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ALVINA MENTANG (NIM : 10112040) , CERI #TITLE_ALTERNATIVE# |
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ALVINA MENTANG (NIM : 10112040) , CERI |
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ALVINA MENTANG (NIM : 10112040) , CERI |
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https://digilib.itb.ac.id/gdl/view/19978 |
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