Multinomial Approximating Models for Options with k State Variables

Cited In (48)

Option Pricing in a Jump-Diffusion Model with Regime Switching
Pricing American-style securities using simulation
On discrete probability approximations for transaction cost problems
A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
A multi-dimensional local average lattice method for multi-asset models
Products of trees for investment analysis
A numerical method for pricing discrete double barrier option by Legendre multiwavelet
The hexanomial lattice for pricing multi-asset options
An Improved Binomial Lattice Method for Multi‐Dimensional Options
SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
Trinomial tree based option pricing model in supply chain financing
Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex
A two-factor structural model for valuing corporate securities
Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)
Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
Transmission valuation analysis based on real options with price spikes
Valuing fixed price supply contracts
A numerical method for pricing discrete double barrier option by Chebyshev polynomials
Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
Adaptive lattice methods for multi-asset models
Pricing options based on trinomial Markov tree
Binomial valuation of lookback options
Option pricing with regime switching by trinomial tree method
Efficient and fast numerical method for pricing discrete double barrier option by projection method
Dynamic conic hedging for competitiveness
Option convergence rate with geometric random walks approximations
Pricing swing options in the electricity markets under regime-switching uncertainty
Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
A portfolio-based evaluation of affine term structure models
A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
Finite volume methods for the valuation of American options
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
Bounds for path-dependent options
On the use of boundary conditions for variational formulations arising in financial mathematics.
Option valuation by a self-exciting threshold binomial model
Pricing multi-asset options with an external barrier
Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
Exact pricing with stochastic volatility and jumps
Design of green bonds by double-barrier options
A real option approach for investment opportunity valuation
LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
New insights on testing the efficiency of methods of pricing and hedging American options
Numerical method for discrete double barrier option pricing with time-dependent parameters
A new simple tree approach for the Heston's stochastic volatility model
A lattice model for option pricing under GARCH-jump processes
Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
Semi-parametric estimation of American option prices
An explicit finite difference approach to the pricing of barrier options

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