Chapman-Kolmogorov lattice method for derivatives pricing

DOI10.1016/J.AMC.2013.11.001MaRDI QIDQ505800zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

American optionsderivatives pricinglattice methodsChapman-Kolmogorov equationinterest rate derivativespath-dependent derivatives

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 2042813 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A comparison of lattice based option pricing models on the rate of convergence
• A continuity correction for discrete barrier options
• A theory of the term structure of interest rates
• Analysis of quadrature methods for pricing discrete barrier options
• Connecting discrete and continuous path-dependent options
• Interest rate models -- theory and practice. With smile, inflation and credit
• Option pricing: A simplified approach
• Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
• Random walk duality and the valuation of discrete lookback options
• The pricing of options and corporate liabilities

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

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