To make high-quality research more accessible and easier to explore.

Fields:
2 results

Numerical Evaluation of Multivariate Contingent Claims

Phelim P. Boyle; Jeremy Evnine; Stephen Gibbs
Review of Financial Studies 1989 2(2), 241-250
[We develop a numerical approximation method for valuing multivariate contingent claims. The approach is based on an n-dimensional extension of the lattice binomial method. Closed-form solutions for the jump probabilities and the jump amplitudes are obtained. The accuracy of the method is illustrated in the case of European options when there are three underlying assets.]

Numerical Evaluation of Multivariate Contingent Claims

Phelim P. Boyle; Jeremy Evnine; Stephen Gibbs
Review of Financial Studies 1989 2(2), 241-250
We develop a numerical approximation method for valuing multivariate contingent claims. The approach is based on an n-dimensional extension of the lattice binomial method. Closed-form solutions for the jump probabilities and the jump amplitudes are obtained. The accuracy of the method is illustrated in the case of European options when there are three underlying assets.