search query: @author Boyle, P. P. / total: 5
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| Author: | Boyle, P. P. |
| Title: | A lattice framework for option pricing with two state variables. |
| Journal: | Journal of Financial and Quantitative Analysis
1988 : MAR, VOL. 23:1, p. 1-12 |
| Index terms: | STOCK OPTIONS ASSET VALUATION |
| Language: | eng |
| Abstract: | An extension of a lattice binomial algorithm to handle the situation in which the payoff from an option depends on more than one state variable. The modification of the two state approach for a single state variable. A lattice model for valuation of options on two underlying assets. Three Tables illustrate the study. |
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