Valuing multi-asset spread options by the Lie-Trotter operator splitting method
Refereed conference paper presented and published in conference proceedings

香港中文大學研究人員

全文

其它資訊
摘要In this paper, by means of the Lie-Trotter operator splitting method, we have presented a new unified approach not only to rigorously derive Kirk's approximation but also to obtain a generalisation for multi-asset spread options straightforwardly. The derived price formula for the multi-asset spread option bears a great resemblance to Kirk's approximotion in the two-asset case. More importantly, our approach is able to provide a new perspective on Kirk's approximation and the generalisation; that is, they are simply equivalent to the Lie-Trotter operator splitting approximation to the Black-Scholes equation.
著者Lo C.F.
會議名稱World Congress on Engineering, WCE 2014
會議開始日02.07.2014
會議完結日04.07.2014
會議地點London
會議國家/地區英國
出版年份2014
月份1
日期1
卷號2
頁次911 - 915
國際標準書號9789881925350
國際標準期刊號2078-0958
語言英式英語
關鍵詞Kirk's approximation, Lie-Trotter operator splitting method, Spread options

上次更新時間 2020-03-08 於 03:34