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  • 1.
    Lundengård, Karl
    et al.
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Ogutu, Carolyne
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. University of Nairobi, Kenya.
    Silvestrov, Sergei
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Ni, Ying
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Weke, P.
    University of Nairobi, Kenya.
    Construction of moment-matching multinomial lattices using Vandermonde matrices and Gröbner bases2017In: AIP Conference Proceedings / [ed] Sivasundaram, S, American Institute of Physics (AIP), 2017, Vol. 1798, p. 020094-1-020094-7, article id 020094Conference paper (Refereed)
    Abstract [en]

    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. 

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