https://www.mdu.se/

mdu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Moment-matching multinomial lattices using Vandermonde matrices for option pricing
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0003-3204-617X
University of Nairobi, Nairobi, Kenya.
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0003-0586-1320
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0835-7536
Show others and affiliations
2016 (English)In: Stochastic and Data Analysis Methods and Applications in Statistics and Demography: Book 2 / [ed] James R. Bozeman, Teresa Oliveira and Christos H. Skiadas, ISAST , 2016, Vol. 2, p. 15-29Conference paper, Published paper (Refereed)
Abstract [en]

Lattice models are discretization methods that divide the life of a financial option into time steps of equal length and model the underlying asset movement at each time step. A financial option of American or European style can be evaluated conveniently via backward induction using a lattice model. The most common lattice models are the well-known binomial- and trinomial lattice models, although severalkinds of higher order models have also been examined in the literature. In the presentpaper we present an explicit scheme for creating a lattice model of arbitrary order and use the Vandermonde matrix to determine suitable parameters. Some selected models created using this scheme are examined with regard to their suitability for option pricing

Place, publisher, year, edition, pages
ISAST , 2016. Vol. 2, p. 15-29
Keywords [en]
Lattice models, moment-matching, multinomial, Vandermonde matrix, option pricing
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-34549ISBN: 978-618-5180-18-8 (print)ISBN: 978-618-5180-19-5 (electronic)OAI: oai:DiVA.org:mdh-34549DiVA, id: diva2:1059943
Conference
16th Applied Stochastic Models and Data Analysis (ASMDA) International Conference, Piraeus, Greece, 30 June - 4 July 2015
Available from: 2016-12-26 Created: 2016-12-26 Last updated: 2020-11-12Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Förlagets fulltext

Authority records

Österberg, JonasNi, YingSilvestrov, Sergei

Search in DiVA

By author/editor
Lundengård, KarlOgutu, CarolyneÖsterberg, JonasNi, YingSilvestrov, Sergei
By organisation
Educational Sciences and Mathematics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

isbn
urn-nbn

Altmetric score

isbn
urn-nbn
Total: 423 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf