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A lattice approach for pricing of multivariate contingent claims

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  • Ekvall, Niklas

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  • Ekvall, Niklas, 1996. "A lattice approach for pricing of multivariate contingent claims," European Journal of Operational Research, Elsevier, vol. 91(2), pages 214-228, June.
    • Handle: RePEc:eee:ejores:v:91:y:1996:i:2:p:214-228
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    1. Merton, Robert C., 1977. "On the pricing of contingent claims and the Modigliani-Miller theorem," Journal of Financial Economics, Elsevier, vol. 5(2), pages 241-249, November.
    2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    3. Boyle, Phelim P., 1988. "A Lattice Framework for Option Pricing with Two State Variables," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(1), pages 1-12, March.
    4. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    5. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    6. Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 87-100, March.
    7. Johnson, Herb, 1987. "Options on the Maximum or the Minimum of Several Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 277-283, September.
    8. Boyle, Phelim P & Evnine, Jeremy & Gibbs, Stephen, 1989. "Numerical Evaluation of Multivariate Contingent Claims," The Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 241-250.
    9. Hull, John & White, Alan, 1988. "The Use of the Control Variate Technique in Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 237-251, September.
    10. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    11. He, Hua, 1990. "Convergence from Discrete- to Continuous-Time Contingent Claims Prices," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 523-546.
    12. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    13. Amin, Kaushik I., 1991. "On the Computation of Continuous Time Option Prices Using Discrete Approximations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(4), pages 477-495, December.
    14. Brennan, Michael J. & Schwartz, Eduardo S., 1978. "Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(3), pages 461-474, September.
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    Cited by:

    1. Dirk Sierag & Bernard Hanzon, 2018. "Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal’s simplex," Annals of Operations Research, Springer, vol. 266(1), pages 101-127, July.
    2. S H Martzoukos, 2009. "Real R&D options and optimal activation of two-dimensional random controls," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(6), pages 843-858, June.
    3. Jimmy E. Hilliard, 2014. "Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 101-110, January.
    4. Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 453-475.
    5. Dong Zou & Pu Gong, 2017. "A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate," The Journal of Real Estate Finance and Economics, Springer, vol. 55(2), pages 242-263, August.
    6. Andrea Gamba & Alberto Micalizzi, 2002. "Product Development and Market Expansion: a Valuation Approach Based on Real Options," Working Papers 01/2002, University of Verona, Department of Economics.
    7. Gambaro, Anna Maria & Kyriakou, Ioannis & Fusai, Gianluca, 2020. "General lattice methods for arithmetic Asian options," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1185-1199.
    8. Kyoung-Sook Moon & Hongjoong Kim, 2013. "A multi-dimensional local average lattice method for multi-asset models," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 873-884, May.
    9. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2024. "Leveraging Machine Learning for High-Dimensional Option Pricing within the Uncertain Volatility Model," Papers 2407.13213, arXiv.org.
    10. Chang, Chuang-Chang & Lin, Jun-Biao, 2010. "The valuation of contingent claims using alternative numerical methods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 490-508, December.
    11. Jinke Zhou & Xiaolu Wang, 2008. "Accurate closed‐form approximation for pricing Asian and basket options," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(4), pages 343-358, July.
    12. Arkadiy V. Sakhartov & Timothy B. Folta, 2014. "Resource relatedness, redeployability, and firm value," Strategic Management Journal, Wiley Blackwell, vol. 35(12), pages 1781-1797, December.
    13. M. I. M. Wahab & C. -G. Lee & P. Sarkar, 2023. "A real options approach to value manufacturing flexibilities with regime-switching product demand," Flexible Services and Manufacturing Journal, Springer, vol. 35(3), pages 864-895, September.
    14. Carlos Andrés Zapata Quimbayo, 2020. "OPCIONES REALES Una guía teórico-práctica para la valoración de inversiones bajo incertidumbre mediante modelos en tiempo discreto y simulación de Monte Carlo," Books, Universidad Externado de Colombia, Facultad de Finanzas, Gobierno y Relaciones Internacionales, number 138, September.
    15. M. Wahab & Chi-Guhn Lee, 2011. "Pricing swing options with regime switching," Annals of Operations Research, Springer, vol. 185(1), pages 139-160, May.
    16. Lorenzo Reus & Rodolfo Prado, 2022. "Need to Meet Investment Goals? Track Synthetic Indexes with the SDDP Method," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 47-69, June.

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