A universal lattice

DOI10.1023/A:1009646809675zbMath1274.91478OpenAlexW1586567336MaRDI QIDQ375479

Tyler T. Yang, Ren-Raw Chen

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009646809675

zbMATH Keywords

derivative contractslattice methodstrinomial lattice structure

Mathematics Subject Classification ID

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

Related Items (5)

A copula-based approach for generating lattices ⋮ A recombining lattice option pricing model that relaxes the assumption of lognormality ⋮ HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING ⋮ An Improved Binomial Lattice Method for Multi‐Dimensional Options ⋮ Computationally simple lattice methods for option and bond pricing

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