The hexanomial lattice for pricing multi-asset options


Multi-asset options are important financial derivatives. Because closed-form solutions do not exist for most of them, numerical alternatives such as lattice are mandatory. But lattices that require the correlation between assets to be confined to a narrow range will have limited uses. Let qij denote the correlation between assets i and j. This paper defines… (More)
DOI: 10.1016/j.amc.2014.01.173


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@article{Kao2014TheHL, title={The hexanomial lattice for pricing multi-asset options}, author={Wen-Hung Kao and Yuh-Dauh Lyuu and Kuo-Wei Wen}, journal={Applied Mathematics and Computation}, year={2014}, volume={233}, pages={463-479} }