THE RELATIONSHIP BETWEEN THE FINITE DIFFERENCE METHOD AND TRINOMIAL TREES

被引：0
|
作者：
Svabova, Lucia [1 ]
Durica, Marek [1 ]
机构：
[1] Univ Zilina, Fac Operat & Econ Transport & Commun, Dept Quantitat Methods & Econ Informat, Zilina 01026, Slovakia
来源：
APPLICATIONS OF MATHEMATICS AND STATISTICS IN ECONOMICS | 2014年
关键词：
finite difference method; trinomial tree; option pricing; BARRIER OPTIONS;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The paper deals with the relation of the Finite difference method to Trinomial Tree Approaches. The Finite difference method is numerical method which can be used for pricing many types of options. This is very useful especially in some cases of exotic options for which the analytical formula does not exist. But in some cases there could appear some inconsistencies of the results of options prices determined by this method. The Explicit finite difference method is equivalent to the Trinomial tree approach. Using the expression of the probabilities of moving the stock price in the Trinomial tree to the explicit version of Finite difference method can be explained this main problem associated with this method
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页码：259 / 269
页数：11
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