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  • Lundengård, Karl, 1987-, et al. (author)
  • Construction of moment-matching multinomial lattices using Vandermonde matrices and Gröbner bases
  • 2017
  • In: AIP Conference Proceedings. - : American Institute of Physics (AIP). - 0094-243X. - 9780735414648 ; , s. 020094-1-020094-7
  • Conference paper (peer-reviewed)abstract
    • In order to describe and analyze the quantitative behavior of stochastic processes, such as the process followed by a financial asset, various discretization methods are used. One such set of methods are lattice models where a time interval is divided into equal time steps and the rate of change for the process is restricted to a particular set of values in each time step. The well-known binomial- and trinomial models are the most commonly used in applications, although several kinds of higher order models have also been examined. Here we will examine various ways of designing higher order lattice schemes with different node placements in order to guarantee moment-matching with the process. 
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Type of publication
conference paper (1)
Type of content
peer-reviewed (1)
Author/Editor
Silvestrov, Sergei, ... (1)
Ni, Ying, 1976- (1)
Ogutu, Carolyne, 198 ... (1)
Lundengård, Karl, 19 ... (1)
Weke, Patrik (1)
University
Mälardalen University (1)
Language
English (1)
Research subject (UKÄ/SCB)
Natural sciences (1)
Year
2017 (1)

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