← Search

Numerical Evaluation of Multivariate Contingent Claims

Phelim P. Boyle¹; Jeremy Evnine²; Stephen Gibbs³

¹ University of California, Berkeley · ² Wells Fargo (United States) · ³ University of Waterloo

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.

DOI

10.1093/rfs/2.2.241

Volume

2 (2)

Pages

241-250

Language

en

Export

BibTeX

Sources

openalex crossref