2 papers
cond-mat.dis-nn2003
Weak vs. Strong Correlations: Bid-Ask Spreads for Weather-Contingent Options
Rene' Carmona, Dario Villani
We price weather-contingent options by use of Monte Carlo simulations. After calibrating the models to fit quoted prices, we analyze bid-ask spreads in terms of correlations across…
physics.gen-ph2000
Looking Forward to Pricing Options from Binomial Trees
Dario Villani, Andrei E. Ruckestein
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 st…