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)

@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}
}