An Improved Binomial Lattice Method for Multi‐Dimensional Options

DOI10.1080/13504860701532237MaRDI QIDQ5440092zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

binomial latticemulti-dimensional diffusionoption pricing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A lattice approach for pricing of multivariate contingent claims
• A universal lattice
• An Intertemporal General Equilibrium Model of Asset Prices
• Binomial models for option valuation - examining and improving convergence
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Evaluating environmental investments: a real options approach
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Lean trees -- a general approach for improving performance of lattice models for option pricing
• Martingales and arbitrage in multiperiod securities markets
• Multinomial Approximating Models for Options with k State Variables
• Option pricing: A simplified approach
• Pricing American-style securities using simulation
• Pricing the American put option: A detailed convergence analysis for binomial models
• Valuing American options by simulation: a simple least-squares approach

Cited in

(14)

• Adaptive lattice methods for multi-asset models
• A lattice approach for pricing of multivariate contingent claims
• Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex
• Option pricing: a yet simpler approach
• Lattice methods for pricing American strangles with two-dimensional stochastic volatility models
• An operator splitting method for multi-asset options with the Feynman-Kac formula
• The hexanomial lattice for pricing multi-asset options
• Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
• A copula-based approach for generating lattices
• The decoupling approach to binomial pricing of multi-asset options
• A multi-dimensional local average lattice method for multi-asset models
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
• Pricing multi-asset contingent claims in a multi-dimensional binomial market
• Properties of multinomial lattices with cumulants for option pricing and hedging

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