简介：This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR (1979) model, for option pricing. ;
Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes: the underlying stock price and the assets value of the option writer.
简介：This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR (1979) model, for option pricing. ; Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes: the underlying stock price and the assets value of the option writer.