Multivariate Binomial Approximations for Asset Prices with Nonstationary Variance and Covariance Characteristics
提出一种用多元二项过程逼近一般多元对数正态分布的高效方法，允许状态变量的波动率和协方差随时间变化，并用于定价依赖两个资产价格的复杂多重行权期权。
In this article, we suggest an efficient method of approximating a general, multivariate log-normal distribution by a multivariate binomial process. There are two important features of such multivariate distributions. First, the state variables may have volatilities that change over time. Second, the two or more relevant state variables involved may covary with each other in a specified manner, with a time-varying covariance structure. We discuss the asymptotic properties of the resulting processes and show how the methodology can be used to value a complex, multiple exercisable option whose payoff depends on the prices of two assets. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.