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20222026
most citedConstructing Trinomial Models Based on Cubature Method on Wiener Space: Applications to Pricing Financial Derivatives

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q-fin.MF2022★ 1 cited

Constructing Trinomial Models Based on Cubature Method on Wiener Space: Applications to Pricing Financial Derivatives

Hossein Nohrouzian, Anatoliy Malyarenko, Ying Ni

This contribution deals with an extension to our developed novel cubature methods of degrees 5 on Wiener space. In our previous studies, we have shown that the cubature formula is…