Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex (Q1621900): Difference between revisions

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-Q1621899
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+Dirk D. Sierag
@@ Property / author: Dirk D. Sierag / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1007/s10479-017-2655-4
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+W2763564293
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@@ Property / cites work @@
+CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS<sup>1</sup>
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@@ Property / cites work @@
+Arbitrage Theory in Continuous Time
@@ Property / cites work: Arbitrage Theory in Continuous Time / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
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+An Intertemporal General Equilibrium Model of Asset Prices
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+A lattice approach for pricing of multivariate contingent claims
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+An Improved Binomial Lattice Method for Multi‐Dimensional Options
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+Q3511031
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+Balanced parametrizations of stable SISO all-pass systems in discrete time
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+Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
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+Multinomial Approximating Models for Options with k State Variables
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+Stochastic calculus for finance. I: The binomial asset pricing model.
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@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1621900