A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments
提出一种对数变换的二项式期权定价数值方法，用于评估含多个交互期权的复杂投资，解决了Cox-Ross-Rubinstein等方法在一致性、稳定性和效率上的问题，适用于复合期权、非比例股息及实物期权交互场景。
This paper presents a numerical method for valuing complex investments with multiple interacting options. The method is a log-transformed variation of binomial option pricing designed to overcome problems of consistency, stability, and efficiency encountered in the Cox, Ross, and Rubinstein (1979) and other numerical methods. This method handles well options with a series of exercise prices (compound options), nonproportional dividends, and interactions among a variety of real options. Comparisons with several existing numerical methods regarding accuracy, consistency, stability, and efficiency are given.