Adaptive lattice methods for multi-asset models
نویسندگان
چکیده
منابع مشابه
Numerical Methods for Pricing Multi - Asset Options
Numerical Methods for Pricing Multi-Asset Options Yuwei Chen Master of Science Graduate Department of Computer Science University of Toronto 2017 We consider the pricing of two-asset European and American options by numerical Partial Differential Equation (PDE) methods, and compare the results with certain analytical formulae. Two cases of options are tested: exchange option and spread option. ...
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15 صفحه اولDistribution-Based Option Pricing on Lattice Asset Dynamics Models
In this paper, we provide an option pricing formula based on an arbitrarily given stock distribution, where the problem of optimally hedging the payoo on a European call option is considered through a self-nancing trading strategy. An optimal hedging problem is solved on a trinomial lattice by assigning suitable probabilities on the lattice, where the underlying stock price distribution is deri...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2008
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2007.12.008