Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex

DOI10.1007/S10479-017-2655-4zbMATH Open1417.91514OpenAlexW2763564293MaRDI QIDQ1621900FDOQ1621900

Authors: B. Hanzon, D. D. Sierag 

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2655-4

Recommendations

• The decoupling approach to binomial pricing of multi-asset options
• Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion
• Security price modelling by a binomial tree
• Products of trees for investment analysis
• Achieving higher order convergence for the prices of European options in binomial trees

zbMATH Keywords

complete marketfinancial derivative pricingmultiple assetsmultinomial trees

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• The pricing of options and corporate liabilities
• Arbitrage Theory in Continuous Time
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Balanced parametrizations of stable SISO all-pass systems in discrete time
• Multinomial Approximating Models for Options with k State Variables
• Option pricing: A simplified approach
• An Intertemporal General Equilibrium Model of Asset Prices
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• A lattice approach for pricing of multivariate contingent claims
• An Improved Binomial Lattice Method for Multi‐Dimensional Options
• Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
• Title not available (Why is that?)

Cited In (1)

• The decoupling approach to binomial pricing of multi-asset options

This page was built for publication: Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1621900)