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A Data-Driven Approach for Option Pricing Algorithm

Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 380)

Abstract

There are multiple option pricing methodologies and yet they still occupy an important place in academic research. Pricing an option is regarded as one of the most challenging questions in finance. Though the Black Scholes model is more popular to price an option, the binomial model is also very effective. However, the binomial model for pricing an option is computationally challenging. Therefore, an algorithmic implementation of the binomial option pricing algorithm is inefficient. This paper proposes using the Vector class template of C++ to make the binomial pricing model more efficient.

Keywords

Binomial option pricing Option pricing algorithm 

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Copyright information

© Springer India 2016

Authors and Affiliations

  1. 1.Ciber IncBostonUSA
  2. 2.SOA UniversityBhubaneshwarIndia
  3. 3.Faculty in Finance and Center HeadKoustuv Business SchoolBhubaneswarIndia

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