| 摘要 |
A system, method, and computer program product of pricing options which involve more than one underlying asset. The method employs a lattice approach by extending current trinomial techniques to higher dimensions, while achieving a maximum economy of nodes. Such economy produces computational advantages in terms of faster execution speed and the utilization of less memory resources. The method valuates options under a general form (i.e., Brownian motion) where parameters may depend on time and price, and accounts for drift and volatility parameters.
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