ADAPTIVE MESH MODELING AND BARRIER OPTION PRICING UNDER A JUMP‐DIFFUSION PROCESS
将二项式跳跃扩散定价算法扩展到三项式设置，并引入自适应网格，大幅减少障碍期权定价的计算时间和资源，使之前不可行的参数化定价成为可能。
Abstract The computational burden of numerical barrier option pricing is significant, even prohibitive, for some parameterizations—especially for more realistic models of underlying asset behavior, such as jump diffusions. We extend a binomial jump diffusion pricing algorithm into a trinomial setting and demonstrate how an adaptive mesh may fit into the model. Our result is a barrier option pricing method that employs fewer computational resources, reducing run times substantially. We demonstrate that this extension allows the pricing of options that were previously computationally infeasible and examine the parameterizations in which use of the adaptive mesh is most beneficial.