Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities

DOI10.1080/14697688.2013.793815zbMath1294.91188OpenAlexW1965934838MaRDI QIDQ2879016

Jimmy E. Hilliard

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.793815

zbMATH Keywords

American optionsfinancial mathematicscomputational financequantitative financenumerical methods for option pricing

Mathematics Subject Classification ID

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

Related Items (3)

Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex ⋮ Randomized binomial tree and pricing of American-style options ⋮ General lattice methods for arithmetic Asian options

Cites Work

• The Pricing of Options and Corporate Liabilities
• A lattice approach for pricing of multivariate contingent claims
• Multinomial Approximating Models for Options with k State Variables
• An equilibrium characterization of the term structure
• Option pricing: A simplified approach
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