Multinomial Approximating Models for Options with k State Variables

DOI10.1287/mnsc.37.12.1640zbMath0825.90061OpenAlexW2018351633MaRDI QIDQ3989142

Publication date: 28 June 1992

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.37.12.1640

Mathematics Subject Classification ID

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

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