MULTINOMIAL APPROXIMATING MODELS FOR OPTIONS WITH K-STATE VARIABLES

被引：117

作者：

KAMRAD, B ^{[1
]}

RITCHKEN, P ^{[1
]}

机构：

[1] CASE WESTERN RESERVE UNIV,WEATHERHEAD SCH MANAGEMENT,DEPT OPERAT RES,CLEVELAND,OH 44106

来源：

MANAGEMENT SCIENCE | 1991年 / 37卷 / 12期

关键词：

CONTINGENT CLAIMS; OPTION PRICING; GEOMETRIC WIENER PROCESSES; MULTINOMIAL LATTICE;

D O I：

10.1287/mnsc.37.12.1640

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Contingent claims whose values depend on multiple sources of uncertainty arise in many financial contracts and in the analysis of real projects. Unfortunately closed form solutions for these options are rare and numerical methods can be computationally expensive. This article extends the literature on multinomial approximating models. Specifically, new multinomial models are presented that include as special cases existing models. The more general models are shown to be computationally more efficient.

引用

页码：1640 / 1652

页数：13