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Lattice Option Pricing By Multidimensional Interpolation

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Vladislav Kargin

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2005.00254.x
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Article provided by Blackwell Publishing in its journal Mathematical Finance.

Volume (Year): 15 (2005)
Issue (Month): 4 ()
Pages: 635-647
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Handle: RePEc:bla:mathfi:v:15:y:2005:i:4:p:635-647

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 14(1), pages 113-47.
  2. Boyle, Phelim P & Evnine, Jeremy & Gibbs, Stephen, 1989. "Numerical Evaluation of Multivariate Contingent Claims," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 2(2), pages 241-50. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
  4. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June. [Downloadable!] (restricted)
  5. Madan, Dilip B & Milne, Frank & Shefrin, Hersh, 1989. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 2(2), pages 251-65. [Downloadable!] (restricted)
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  1. Denis Belomestny & Grigori N. Milstein & Vladimir Spokoiny, 2006. "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers SFB649DP2006-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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