A universal lattice

DOI10.1023/A:1009646809675zbMATH Open1274.91478OpenAlexW1586567336MaRDI QIDQ375479FDOQ375479

Authors: Ren-Raw Chen, Tyler T. Yang 

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009646809675

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zbMATH Keywords

derivative contractslattice methodstrinomial lattice structure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (10)

• Title not available (Why is that?)
• An Improved Binomial Lattice Method for Multi‐Dimensional Options
• Universal karyon tilings
• A copula-based approach for generating lattices
• A recombining lattice option pricing model that relaxes the assumption of lognormality
• HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
• AFFINE LATTICE MODELS
• Computationally simple lattice methods for option and bond pricing
• On the construction and complexity of the bivariate lattice with stochastic interest rate models
• UNIVERSAL TRELLISES

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