Construction of moment-matching multinomial lattices using Vandermonde matrices and Gröbner bases
2017 (English)In: AIP Conference Proceedings, 2017Conference paper (Refereed)
In order to describe and analyze the quantitative behavior of stochastic processes, such as the process followed by a financial asset, various discretization methods are used. One such set of methods are lattice models where a time interval is divided into equal time steps and the rate of change for the process is restricted to a particular set of values in each time step. The well-known binomial- and trinomial models are the most commonly used in applications, although several kinds of higher order models have also been examined. Here we will examine various ways of designing higher order lattice schemes with different node placements in order to guarantee moment-matching with the process.
Place, publisher, year, edition, pages
IdentifiersURN: urn:nbn:se:mdh:diva-35007DOI: 10.1063/1.4972686ScopusID: 2-s2.0-85013643900ISBN: 9780735414648 OAI: oai:DiVA.org:mdh-35007DiVA: diva2:1080153
11th International Conference on Mathematical Problems in Engineering, Aerospace and Sciences, ICNPAA 2016, 4 July 2016 through 8 July 2016