A multi-dimensional local average lattice method for multi-asset models
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2012.744086
Reference27 articles.
1. The Pricing of Options and Corporate Liabilities
2. A Lattice Framework for Option Pricing with Two State Variables
3. Numerical Evaluation of Multivariate Contingent Claims
4. The Accelerated Binomial Option Pricing Model
5. American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
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