A lattice approach for pricing of multivariate contingent claims

DOI10.1016/0377-2217(95)00279-0zbMath0924.90014OpenAlexW2023749127MaRDI QIDQ1278204

Niklas Ekvall

Publication date: 22 February 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(95)00279-0

zbMATH Keywords

financecontingent claims analysisasset valuationlattice (tree) methods

Mathematics Subject Classification ID

Related Items (12)

Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ A lattice method for option pricing with two underlying assets in the regime-switching model ⋮ TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL ⋮ Pricing swing options in the electricity markets under regime-switching uncertainty ⋮ Accurate closed-form approximation for pricing Asian and basket options ⋮ A multi-dimensional local average lattice method for multi-asset models ⋮ An Improved Binomial Lattice Method for Multi‐Dimensional Options ⋮ A financial model of flexible manufacturing systems planning under uncertainty: identification, valuation and applications of real options ⋮ General lattice methods for arithmetic Asian options ⋮ Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models ⋮ Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• An Intertemporal Capital Asset Pricing Model
• Option pricing: A simplified approach
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