LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION-Reference-Cited by-同舟云学术

LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION

Published:2005-10 Issue:4 Volume:15 Page:635-647
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Kargin Vladislav

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2005.00254.x/fullpdf

Reference32 articles.

1. Numerical Valuation of High-Dimensional Multivariate American Securities;Barraquand;J. Financ. Quanti. Anal.,1995

2. Universal Approximation Bounds for Superpositions of a Sigmoidal Function;Barron;IEEE Trans. Info. Theory,1993

3. Berridge, S. J. , and J. M. Schumacher (2004): An Irregular Grid Approach for Pricing High-Dimensional American Options. Tilburg University/CentER Discussion Paper 2004-18.

4. A Lattice Framework for Option Pricing with Two State Variables;Boyle;J. Finan. Quanti. Anal.,1988

5. Numerical Evaluation of Multivariate Contingent Claims;Boyle;Rev. Financ. Stud.,1989

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