A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables-Reference-Cited by-同舟云学术

A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables

Published:2012-06-20 Issue:9 Volume:33 Page:795-826
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Dai Tian-Shyr¹,Wang Chuan-Ju²,Lyuu Yuh-Dauh³

Affiliation:

1. Tian-Shyr Dai is in Department of Information and Finance Management; Institute of Information Management and Institute of Finance; National Chiao Tung University; Taiwan

2. Chuan-Ju Wang is in Department of Computer Science,; Taipei Municipal University of Education,; Taiwan

3. Yuh-Dauh Lyuu is in Department of Finance and Department of Computer Science & Information Engineering; National Taiwan University; Taiwan

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference39 articles.

1. Pricing and hedging of American knock-in options;Aitsahlia;Journal of Derivatives,2004

2. Credit Risk Valuation

3. Universal option valuation using quadrature methods;Andricopoulos;Journal of Financial Economics,2003

4. Extending quadrature methods to value multi-asset and complex path dependent options;Andricopoulos;Journal of Financial Economics,2007

5. Bank for International Settlements 2010 Semiannual OTC derivatives statistics at end-June 2010 http://www.bis.org/statistics/derstats.htm

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