Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex

DOI10.1007/S10479-017-2655-4zbMath1417.91514OpenAlexW2763564293MaRDI QIDQ1621900

Bernard Hanzon, Dirk D. Sierag

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2655-4

zbMATH Keywords

complete marketfinancial derivative pricingmultiple assetsmultinomial trees

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A lattice approach for pricing of multivariate contingent claims
• Balanced parametrizations of stable SISO all-pass systems in discrete time
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Stochastic calculus for finance. II: Continuous-time models.
• Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
• An Intertemporal General Equilibrium Model of Asset Prices
• Multinomial Approximating Models for Options with k State Variables
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• An Improved Binomial Lattice Method for Multi‐Dimensional Options
• Option pricing: A simplified approach
• Arbitrage Theory in Continuous Time
• Unnamed Item

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