The hexanomial lattice for pricing multi-asset options

DOI10.1016/j.amc.2014.01.173zbMath1335.91103OpenAlexW1973931709MaRDI QIDQ272652

Yuh-Dauh Lyuu, Kuo-Wei Wen, Wen-Hung Kao

Publication date: 20 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.01.173

zbMATH Keywords

correlationbarrier optionbinomial latticehexanomial latticemulti-asset optiontrinomial lattice

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ An efficient method for solving spread option pricing problem: numerical analysis and computing

Cites Work

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