2000/08/17 by D. Villani, Dario Villani, Villani, Dario +3
Decision Sciences · Economics, Econometrics and Finance · Physics and Astronomy · #Auction Theory and Applications #Condensed Matter (cond-mat) #Economic theories and models #FOS: Physical sciences #General Physics (physics.gen-ph) #Stochastic processes and financial applications #cond-mat #physics.gen-ph
paper · pdf · doi:10.48550/arxiv.physics/0008111
12 pages, 1 figure
openalex publication_date 2000/08/17 · arxiv created 2000/08/21 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We reconsider the valuation of barrier options by means of binomial trees from a "forward looking" prospective rather than the more conventional "backward induction" one used by standard approaches. This reformulation allows us to write closed-form expressions for the value of European and American put barrier-options on a non-dividend-paying stock.