On the Computation of Continuous Time Option Prices Using Discrete Approximations
作者： Kaushik I. Amin
DOI: 10.2307/2331407
关键词: Computation 、 Multivariate statistics 、 Volatility (finance) 、 State variable 、 Vasicek model 、 Mathematics 、 Covariance 、 Econometrics 、 Arbitrarily large
摘要: We develop a class of discrete, path-independent models to compute prices American options within the Black-Scholes (1973) framework, including in which state variables have time-varying volatility functions and with multiple variables. Time-varying are illustrated applications term structure developed by Vasicek (1977) Heath, Jarrow, Morton (1988), (1990). Distinct from previous work literature, multivariate suggested this paper consistent arbitrarily large, though constant, covariance functions. Finally, we compare contrast numerical accuracy large number simulation results.
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