Chapman–Kolmogorov lattice method for derivatives pricing
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摘要
In this paper a novel, fast and accurate derivatives pricing method based on the application of the Chapman–Kolmogorov equation is introduced. It has an intuitive lattice representation and is able to price a wide range of derivatives. Comparisons with some advanced exotic options pricing techniques are also provided in order to confirm the efficiency of the method proposed.
论文关键词:Derivatives pricing,Lattice methods,Chapman–Kolmogorov equation,American options,Interest rate derivatives,Path-dependent derivatives
论文评审过程:Available online 23 November 2013.
论文官网地址:https://doi.org/10.1016/j.amc.2013.11.001