Pricing American Up-and-In Calls and American Down-And-In Puts

[DKon]

Hey everyone,

I'm trying to implement an algorithm (in VBA) for pricing American Down-And-In Puts and American Up-And-In Calls.
I've already implemented a trinomial lattice model with the stretch parameter lampda to make sure to hit the barrier with the lattice nodes. Unfortunately the model produces "wrong" prices when I set the barrier close to the current asset price. with other combinations of barriers and asset prices the model behaves pretty well.

Same happened to me with the AitSahlia/Imhof/Lai "adjusted binomial" approach.

Has somebody experienced similar problems and knows how to deal with it?

I'm also open to new approaches and ideas.

Thanks for your help,

Dominik

 

[DKon]

Got it solved by myself.

If anybody expiriences the same problem feel free to contact me.

Dominik