Multinomial Approximating Models for Options with k State Variables

Cited in

(51)

Adaptive lattice methods for multi-asset models
Products of trees for investment analysis
Valuing fixed price supply contracts
Pricing American-style securities using simulation
Binomial valuation of lookback options
Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex
On the use of boundary conditions for variational formulations arising in financial mathematics.
Numerical method for discrete double barrier option pricing with time-dependent parameters
Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
Design of green bonds by double-barrier options
A numerical method for pricing discrete double barrier option by Chebyshev polynomials
A new simple tree approach for the Heston's stochastic volatility model
Pricing options based on trinomial Markov tree
On discrete probability approximations for transaction cost problems
A real option approach for investment opportunity valuation
Efficient and fast numerical method for pricing discrete double barrier option by projection method
A numerical method for pricing discrete double barrier option by Legendre multiwavelet
New insights on testing the efficiency of methods of pricing and hedging American options
A portfolio-based evaluation of affine term structure models
Option pricing with regime switching by trinomial tree method
Pricing multi-asset options with an external barrier
The hexanomial lattice for pricing multi-asset options
Exact pricing with stochastic volatility and jumps
Option convergence rate with geometric random walks approximations
Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
Transmission valuation analysis based on real options with price spikes
Pricing swing options in the electricity markets under regime-switching uncertainty
Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
Dynamic conic hedging for competitiveness
SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
Finite volume methods for the valuation of American options
Option Pricing in a Jump-Diffusion Model with Regime Switching
A lattice model for option pricing under GARCH-jump processes
An explicit finite difference approach to the pricing of barrier options
A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
Option valuation by a self-exciting threshold binomial model
Semi-parametric estimation of American option prices
Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
A multi-dimensional local average lattice method for multi-asset models
An Improved Binomial Lattice Method for Multi‐Dimensional Options
LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
Trinomial tree based option pricing model in supply chain financing
A two-factor structural model for valuing corporate securities
Valuation of American maximum exchange rate quanto lookback options
Fifty years at the interface between financial modeling and operations research
Pricing multi-asset contingent claims in a multi-dimensional binomial market
Bounds for path-dependent options
Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)

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