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
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;
Conference_Titel :
Engineering Management Conference, 2004. Proceedings. 2004 IEEE International
Print_ISBN :
0-7803-8519-5
DOI :
10.1109/IEMC.2004.1408875
