Adaptive lattice methods for multi-asset models

DOI10.1016/j.camwa.2007.12.008zbMath1155.91392OpenAlexW1965256718MaRDI QIDQ1004678

Won-Jung Kim, Kyoung-Sook Moon, Hongjoong Kim

Publication date: 12 March 2009

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2007.12.008

zbMATH Keywords

adaptive mesh refinementmulti-asset option pricinglattice method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Meshless methods for American option pricing through physics-informed neural networks ⋮ An adaptive averaging binomial method for option valuation ⋮ A multi-dimensional local average lattice method for multi-asset models ⋮ Lattice methods for pricing American strangles with two-dimensional stochastic volatility models

Cites Work

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• The Pricing of Options and Corporate Liabilities
• The rate of convergence of the binomial tree scheme
• Multinomial Approximating Models for Options with k State Variables
• Binomial models for option valuation - examining and improving convergence
• Adaptive weak approximation of stochastic differential equations
• Option pricing: A simplified approach
• An Introduction to Financial Option Valuation
• Adaptive Monte Carlo Algorithms for Stopped Diffusion
• Stochastic differential equations. An introduction with applications.

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