Spectral binomial tree: New algorithms for pricing barrier options
作者：
Highlights：
• Binomial tree is popular but slow to converge to calculate barrier option prices.
• We incorporate the spectral expansion method into it for pricing barrier options.
• The original idea comes from the eigenexpansion approach in PDEs.
• It can compute double barrier options with one billion steps within 0.07 s.
• The prices are always the same as those by conventional binomial trees.
摘要
Highlights•Binomial tree is popular but slow to converge to calculate barrier option prices.•We incorporate the spectral expansion method into it for pricing barrier options.•The original idea comes from the eigenexpansion approach in PDEs.•It can compute double barrier options with one billion steps within 0.07 s.•The prices are always the same as those by conventional binomial trees.
论文关键词：Spectral methods,Tridiagonal matrix,Eigenvalue problems,Double barrier options,Rebates
论文评审过程：Received 27 March 2012, Revised 1 October 2012, Available online 28 February 2013.
论文官网地址：https://doi.org/10.1016/j.cam.2012.10.036
