A multi-dimensional local average lattice method for multi-asset models

DOI10.1080/14697688.2012.744086zbMath1281.91190OpenAlexW1991646641MaRDI QIDQ5397424

Kyoung-Sook Moon, Hongjoong Kim

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.744086

zbMATH Keywords

American optionsmulti-asset option pricinglattice methodlocal average

Mathematics Subject Classification ID

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

Cites Work

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• Asymptotics of the price oscillations of a European call option in a tree model
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• Option pricing: A simplified approach

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