On the Computation of Continuous Time Option Prices Using Discrete Approximations
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- Andrea Gamba & Lenos Trigeorgis, 2007.
"An Improved Binomial Lattice Method for Multi-Dimensional Options,"
Applied Mathematical Finance,
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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.
- Ariste, Ruolz & Lasserre, Pierre, 2001.
"La gestion optimale d’une forêt exploitée pour son potentiel de diminution des gaz à effet de serre et son bois,"
Société Canadienne de Science Economique, vol. 77(1), pages 27-51, mars.
- Ariste Ruolz & Pierre Lasserre, 2001. "La gestion optimale d'une forêt exploitée pour son potentiel de diminution des gaz à effet de serre et son bois," Cahiers de recherche du Département des sciences économiques, UQAM 20-03, Université du Québec à Montréal, Département des sciences économiques.
- Anlong Li, 1992. "Binomial approximation in financial models: computational simplicity and convergence," Working Paper 9201, Federal Reserve Bank of Cleveland.
- repec:ibn:ijefaa:v:10:y:2018:i:2:p:10-13 is not listed on IDEAS
- Ekvall, Niklas, 1996. "A lattice approach for pricing of multivariate contingent claims," European Journal of Operational Research, Elsevier, vol. 91(2), pages 214-228, June.
- Sandra Peterson & Richard Stapleton, 2002. "The pricing of Bermudan-style options on correlated assets," Review of Derivatives Research, Springer, vol. 5(2), pages 127-151, May.
- 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.
- Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
- Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147 Edward Elgar Publishing.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- 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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