The hexanomial lattice for pricing multi-asset options

DOI10.1016/J.AMC.2014.01.173MaRDI QIDQ272652zbMATH OpenOpenAlexFDO

Authors Wen-Hung Kao, Yuh-Dauh Lyuu, Kuo-Wei Wen

Publication date 20 April 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2014.01.173

zbMATH Keywords

correlationbarrier optionbinomial latticehexanomial latticemulti-asset optiontrinomial lattice

Mathematics Subject Classification ID

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

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Cites work

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• A comparison study of ADI and operator splitting methods on option pricing models
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• Financial engineering and computation. Principles, mathematics, algorithms
• How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
• Interest rate models -- theory and practice. With smile, inflation and credit
• Monte Carlo methods for security pricing
• Multinomial Approximating Models for Options with k State Variables
• Pricing and Hedging Spread Options
• Quasi-Monte Carlo Methods in Numerical Finance
• Smooth convergence in the binomial model
• Solving finite difference schemes arising in trivariate option pricing.
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities

Cited in

(6)

• An Improved Binomial Lattice Method for Multi‐Dimensional Options
• Adaptive lattice methods for multi-asset models
• Properties of multinomial lattices with cumulants for option pricing and hedging
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• An efficient method for solving spread option pricing problem: numerical analysis and computing
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION

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