| Tekijä: | Boyle, P. P. |
| Otsikko: | A lattice framework for option pricing with two state variables. |
| Lehti: | Journal of Financial and Quantitative Analysis
1988 : MAR, VOL. 23:1, p. 1-12 |
| Asiasana: | STOCK OPTIONS ASSET VALUATION |
| Kieli: | eng |
| Tiivistelmä: | 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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