| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4628425 | Applied Mathematics and Computation | 2014 | 9 Pages |
Abstract
In this paper a novel, fast and accurate derivatives pricing method based on the application of the Chapman–Kolmogorov equation is introduced. It has an intuitive lattice representation and is able to price a wide range of derivatives. Comparisons with some advanced exotic options pricing techniques are also provided in order to confirm the efficiency of the method proposed.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Federico Aluigi, Massimiliano Corradini, Andrea Gheno,