Numerical Evaluation of Multivariate Contingent Claims

被引：148

作者：

Boyle, Phelim P. ^{[1
,2
]}

Evnine, Jeremy

Gibbs, Stephen ^{[2
]}

机构：

[1] Univ Calif Berkeley, Berkeley, CA 94720 USA

[2] Univ Waterloo, Waterloo, ON N2L 3G1, Canada

来源：

REVIEW OF FINANCIAL STUDIES | 1989年 / 2卷 / 02期

关键词：

D O I：

10.1093/rfs/2.2.241

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a numerical approximation method for valuing multivariate contingent claims. The approach is based on an n-dimensional extension of the lattice binomial method. Closed-form solutions for the jump probabilities and the jump amplitudes are obtained. The accuracy of the method is illustrated in the case of European options when there are three underlying assets.

引用

页码：241 / 250

页数：10