Topics on Two-State Option Pricing

44 Pages Posted: 22 Nov 2007 Last revised: 1 Apr 2009

See all articles by Valdo Durrleman

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS

Adam Kurpiel

LARE-efi

Gaël Riboulet

Natixis

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: June 14, 2000

Abstract

In this paper, we consider 2D option pricing. Most of the problems come from the fact that only few closed-form formulas are available. Numerical algorithms are also necessary to compute option prices. This paper examines some topics on this subject.

Keywords: Numerical integration methods, Gauss quadratures, Monte Carlo, Quasi Monte Carlo, Sobol sequences, Faure sequences, two-dimensional PDE, Hopscotch, LOD, ADI, MOL, Stochastic volatility model, Malliavin calculus

JEL Classification: G00

Suggested Citation

Durrleman, Valdo and Kurpiel, Adam and Riboulet, Gaël and Roncalli, Thierry, Topics on Two-State Option Pricing (June 14, 2000). Available at SSRN: https://ssrn.com/abstract=1031938 or http://dx.doi.org/10.2139/ssrn.1031938

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS ( email )

Palaiseau, 91128
France

Adam Kurpiel

LARE-efi ( email )

Avenue Leon Duguit, 33
Pessac, 608
France

Gaël Riboulet

Natixis ( email )

47 Quai d'Austerlitz
Paris, France 75014
France

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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