Boyle, Phelim P; Evnine, Jeremy; Gibbs, Stephen - In: Review of Financial Studies 2 (1989) 2, pp. 241-50
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...