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.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2655-4 is not listed on IDEAS
- repec:kap:jrefec:v:55:y:2017:i:2:d:10.1007_s11146-016-9576-x is not listed on IDEAS
- Andrea Gamba & Nicola Fusari, 2009. "Valuing Modularity as a Real Option," Management Science, INFORMS, vol. 55(11), pages 1877-1896, November.
- Rohlfs, Wilko & Madlener, Reinhard, 2011. "Multi-Commodity Real Options Analysis of Power Plant Investments: Discounting Endogenous Risk Structures," FCN Working Papers 22/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
- Jarno Talponen & Minna Turunen, 2017. "Option pricing: A yet simpler approach," Papers 1705.00212, arXiv.org, revised Mar 2018.
- Laude, Audrey & Jonen, Christian, 2013. "Biomass and CCS: The influence of technical change," Energy Policy, Elsevier, vol. 60(C), pages 916-924.
- Rohlfs, Wilko & Madlener, Reinhard, 2013. "Optimal Power Generation Investment: Impact of Technology Choices and Existing Portfolios for Deploying Low-Carbon Coal Technologies," FCN Working Papers 12/2013, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
More about this item
KeywordsOption pricing; binomial lattice; multi-dimensional diffusion; JEL classification : G13;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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