Chapman-Kolmogorov lattice method for derivatives pricing
DOI10.1016/J.AMC.2013.11.001zbMATH Open1354.91162OpenAlexW2053063638MaRDI QIDQ505800FDOQ505800
Authors: Federico Aluigi, Massimiliano Corradini, Andrea Gheno 
Publication date: 26 January 2017
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2013.11.001
Recommendations
- Computationally simple lattice methods for option and bond pricing
- An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
- Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
- Pricing exotic derivatives exploiting structure
- Higher-order interpolated lattice schemes for multidimensional option pricing problems
American optionsderivatives pricinglattice methodsChapman-Kolmogorov equationinterest rate derivativespath-dependent derivatives
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
- A theory of the term structure of interest rates
- A continuity correction for discrete barrier options
- Title not available (Why is that?)
- Option pricing: A simplified approach
- Interest rate models -- theory and practice. With smile, inflation and credit
- Analysis of quadrature methods for pricing discrete barrier options
- Connecting discrete and continuous path-dependent options
- Title not available (Why is that?)
- Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
- Random walk duality and the valuation of discrete lookback options
- A comparison of lattice based option pricing models on the rate of convergence
Cited In (4)
- Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing
- An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
- Randomized binomial tree and pricing of American-style options
This page was built for publication: Chapman-Kolmogorov lattice method for derivatives pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q505800)
