Topics on Two-State Option Pricing
44 Pages Posted: 22 Nov 2007 Last revised: 1 Apr 2009
Date Written: June 14, 2000
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: Suggested Citation