Numerical Evaluation of Multivariate Contingent Claims
提出一种基于n维格点二项式方法的数值近似方法，用于评估多元或有权益，并给出了跳跃概率和跳跃幅度的闭式解，以三个基础资产的欧式期权为例验证了准确性。
We develop a numerical approximation method for valuing multivariate contingent claims. The approach is based on an n-dimensional extension of the lattice binomial method. Closed-form solutions for the jump probabilities and the jump amplitudes are obtained. The accuracy of the method is illustrated in the case of European options when there are three underlying assets.