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

DOI10.1007/S10479-017-2655-4MaRDI QIDQ1621900zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5298331 (Why is no real title available?)
• A lattice approach for pricing of multivariate contingent claims
• An Improved Binomial Lattice Method for Multi‐Dimensional Options
• An Intertemporal General Equilibrium Model of Asset Prices
• Arbitrage Theory in Continuous Time
• Balanced parametrizations of stable SISO all-pass systems in discrete time
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Multinomial Approximating Models for Options with k State Variables
• Option pricing: A simplified approach
• Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities

Cited in

(1)

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

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