An Improved Binomial Lattice Method for Multi‐Dimensional Options
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Publication:5440092
DOI10.1080/13504860701532237zbMath1151.91508OpenAlexW2028393376MaRDI QIDQ5440092
Lenos Trigeorgis, Andrea Gamba
Publication date: 31 January 2008
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860701532237
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex ⋮ Option pricing: a yet simpler approach ⋮ An operator splitting method for multi-asset options with the Feynman-Kac formula ⋮ A multi-dimensional local average lattice method for multi-asset models ⋮ Lattice methods for pricing American strangles with two-dimensional stochastic volatility models
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