DocumentCode
2824207
Title
A numerical approximation method for the valuation of multivariate contingent claims
Author
Du, J. ; Jiao, J.X.
Author_Institution
Sch. of Manage., Tianjin Univ., China
Volume
3
fYear
2004
fDate
18-21 Oct. 2004
Firstpage
1161
Abstract
A numerical approximation method for the valuation of multivariate contingent claims is presented. It extends the Trigeorgis´ (1991) log-transformed binomial approach for one asset to more general case of several assets. The proposed method overcomes the problems of poor consistency, stability and efficiency inherent in the Boyle, Evinie and Gibbs (1989) approach. It can achieve the similar performance as that of the Ekvall (1996) approach while alleviates its difficulty in maintaining reasonable up- and down-jump sizes.
Keywords
financial management; investment; numerical analysis; log-transformed binomial approach; multivariate contingent claim; numerical approximation method; Approximation methods; Contingency management; Cost accounting; Engineering management; Investments; Lattices; Pricing; Production engineering; Stability; Technology management;
fLanguage
English
Publisher
ieee
Conference_Titel
Engineering Management Conference, 2004. Proceedings. 2004 IEEE International
Print_ISBN
0-7803-8519-5
Type
conf
DOI
10.1109/IEMC.2004.1408875
Filename
1408875
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