The binomial interpolated lattice method fro step double barrier options

Elisa Appolloni (1) , Gaudenzi Marcellino (2) , Antonino Zanette (1, 2)

1 MATHRISK - Mathematical Risk handling
2 Università degli Studi di Udine - University of Udine [Italie]

We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier options and per-mits the valuation of step double barrier options with American features. We provide a complete convergence analysis of the proposed lattice algorithm in the European case.

Mots clés: Step double barrier options; binomial method; American options; rate of convergence; interpola-tion

Domaines: Probabilités [math.PR]

Elisa Appolloni, Gaudenzi Marcellino, Antonino Zanette. The binomial interpolated lattice method fro step double barrier options. International Journal of Theoretical and Applied Finance, 2014, 17 (6), pp.1450035. ⟨10.1142/S0219024914500356⟩. ⟨hal-01096581⟩