We thank Min-Cheng Hong, Yen-Chun Liu, and Kai-Hsu Yang for assistance. The detailed comments from an anonymous referee improved the manuscript immensely. Chuan-Ju Wang was supported in part by the National Science Council of Taiwan under grant 100-2218-E-133-001-MY2.
A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables
Article first published online: 20 JUN 2012
© 2012 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 33, Issue 9, pages 795–826, September 2013
How to Cite
Dai, T.-S., Wang, C.-J. and Lyuu, Y.-D. (2013), A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables. J. Fut. Mark., 33: 795–826. doi: 10.1002/fut.21565
- Issue published online: 19 JUN 2013
- Article first published online: 20 JUN 2012
- Manuscript Accepted: 29 APR 2012
- Manuscript Received: 26 JAN 2012
- National Science Council of Taiwan. Grant Number: 100-2218-E-133-001-MY2
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