Lattice Tree Methods for Strongly Path Dependent Options

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-06-18 DOI:10.2139/ssrn.1421736

Y. Kwok

引用次数: 4

Abstract

This review article summarizes the applications of the forward shooting grid method to pricing of various types of strongly path dependent options. The forward shooting grid approach is characterized by augmenting an auxiliary state vector at each node in the usual lattice tree, which serves to capture the path dependent feature of the option. Examples of path dependent derivatives considered include the lookback options, Asian options, callable convertible bonds, and call options with strike reset feature.

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强路径依赖选项的点阵树方法

本文综述了前向射击网格法在各类强路径依赖期权定价中的应用。前向射击网格方法的特点是在通常的格树的每个节点上增加一个辅助状态向量，用于捕获选项的路径依赖特征。考虑的路径依赖衍生品的例子包括回溯期权、亚洲期权、可赎回可转换债券和具有罢工重置功能的看涨期权。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets