On the Computation of Continuous Time Option Prices Using Discrete Approximations
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 26 (1991)
Issue (Month): 04 (December)
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"An Improved Binomial Lattice Method for Multi-Dimensional Options,"
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- Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Working Papers wpn07-01, Warwick Business School, Finance Group.
- Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
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