A multi-dimensional local average lattice method for multi-asset models
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Moon, Kyoung-Sook | - |
dc.contributor.author | Kim, Hongjoong | - |
dc.date.available | 2020-02-28T23:45:16Z | - |
dc.date.created | 2020-02-06 | - |
dc.date.issued | 2013-06-01 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/14483 | - |
dc.description.abstract | We develop a multi-dimensional local average lattice method in order to compute efficiently and accurately the price of multivariate contingent claims. The proposed method improves the accuracy of the standard lattice method by considering the local averages of option prices around each node at the final time, rather than the prices at the nodes. The average value smooths the oscillatory behavior of the lattice method, which leads to fast convergence of the option values. Numerical computations show that the proposed local average lattice method is more efficient than other lattice methods for a given level of accuracy. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.relation.isPartOf | QUANTITATIVE FINANCE | - |
dc.subject | BINOMIAL TREE SCHEME | - |
dc.subject | CONTINGENT CLAIMS | - |
dc.subject | STATE VARIABLES | - |
dc.subject | OPTION | - |
dc.subject | CONVERGENCE | - |
dc.subject | AMERICAN | - |
dc.subject | ASYMPTOTICS | - |
dc.title | A multi-dimensional local average lattice method for multi-asset models | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000320358200006 | - |
dc.identifier.doi | 10.1080/14697688.2012.744086 | - |
dc.identifier.bibliographicCitation | QUANTITATIVE FINANCE, v.13, no.6, pp.873 - 884 | - |
dc.identifier.scopusid | 2-s2.0-84879687885 | - |
dc.citation.endPage | 884 | - |
dc.citation.startPage | 873 | - |
dc.citation.title | QUANTITATIVE FINANCE | - |
dc.citation.volume | 13 | - |
dc.citation.number | 6 | - |
dc.contributor.affiliatedAuthor | Moon, Kyoung-Sook | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Lattice method | - |
dc.subject.keywordAuthor | Local average | - |
dc.subject.keywordAuthor | Multi-asset option pricing | - |
dc.subject.keywordAuthor | American options | - |
dc.subject.keywordAuthor | C6 | - |
dc.subject.keywordAuthor | C61 | - |
dc.subject.keywordAuthor | C63 | - |
dc.subject.keywordPlus | BINOMIAL TREE SCHEME | - |
dc.subject.keywordPlus | CONTINGENT CLAIMS | - |
dc.subject.keywordPlus | STATE VARIABLES | - |
dc.subject.keywordPlus | OPTION | - |
dc.subject.keywordPlus | CONVERGENCE | - |
dc.subject.keywordPlus | AMERICAN | - |
dc.subject.keywordPlus | ASYMPTOTICS | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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