Random Lattices for Option Pricing Problems in Finance

Abstract

While the use of Monte Carlo methods is well established for pricing derivatives, this paper focuses on a random-lattice approach, also known in the literature as the stochastic-mesh method. The method is reviewed here. We show that the method may be refined with an ad-hoc bias correction, that suitably adjusts these models for accuracy. The paper presents… (More)

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Cite this paper

@inproceedings{Das2003RandomLF, title={Random Lattices for Option Pricing Problems in Finance}, author={Sanjiv R. Das}, year={2003} }