A universal lattice

DOI10.1023/A:1009646809675MaRDI QIDQ375479zbMATH OpenOpenAlexFDO

Authors Ren-Raw Chen, Tyler T. Yang

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

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

Recommendations

• scientific article; zbMATH DE number 4076070
• A broad class of shellable lattices
• A lattice of homomorphs
• scientific article; zbMATH DE number 4093473
• scientific article; zbMATH DE number 3941557
• scientific article; zbMATH DE number 5532102
• Lattices Which Are Good for (Almost) Everything
• A new lattice construction
• Universal Tilings
• Almost lattices

Cited in

(13)

• Lattice approach and implied trees
• scientific article; zbMATH DE number 1728305 (Why is no real title available?)
• An Improved Binomial Lattice Method for Multi‐Dimensional Options
• Universal karyon tilings
• A copula-based approach for generating lattices
• A recombining lattice option pricing model that relaxes the assumption of lognormality
• Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
• AFFINE LATTICE MODELS
• HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
• Computationally simple lattice methods for option and bond pricing
• Building recombining trinomial trees for time-homogeneous diffusion processes
• On the construction and complexity of the bivariate lattice with stochastic interest rate models
• UNIVERSAL TRELLISES

This page was built for publication: A universal lattice

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375479)