Chapman-Kolmogorov lattice method for derivatives pricing

DOI10.1016/J.AMC.2013.11.001zbMath1354.91162OpenAlexW2053063638MaRDI QIDQ505800

Massimiliano Corradini, Federico Aluigi, Andrea Gheno

Publication date: 26 January 2017

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

Full work available at URL: https://doi.org/10.1016/j.amc.2013.11.001

zbMATH Keywords

American optionsderivatives pricinglattice methodsChapman-Kolmogorov equationinterest rate derivativespath-dependent derivatives

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)

Related Items (1)

Randomized binomial tree and pricing of American-style options

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Interest rate models -- theory and practice. With smile, inflation and credit
• A comparison of lattice based option pricing models on the rate of convergence
• Analysis of quadrature methods for pricing discrete barrier options
• Connecting discrete and continuous path-dependent options
• A Continuity Correction for Discrete Barrier Options
• A Theory of the Term Structure of Interest Rates
• Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
• Random walk duality and the valuation of discrete lookback options
• Option pricing: A simplified approach

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