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| Author: | Ekvall, N. |
| Title: | A lattice approach for pricing of multivariate contingent claims |
| Journal: | European Journal of Operational Research
1996 : JUN 7, VOL. 91:2, p. 214-228 |
| Index terms: | MANAGEMENT FINANCE ASSET VALUATION |
| Language: | eng |
| Abstract: | The lattice approach developed by Boyle, Evnine and Gibbs (BEG) is hitherto one of the most appealing, when it comes to pricing multivariate contingent claims. The BEG approach has, however, some problems, two of the major ones being that the method can lead to negative jump probabilities and has a slow rate of convergence. In this paper, a lattice approach is developed which avoids both of the aforementioned problems of the BEG approach. It is shown that the NEK approach has a very fast rate of convergence. |
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