A multi-phase, flexible, and accurate lattice for pricing complex derivatives with multiple market variables

Keyphrases

• Multiple Markets 100%
• Market Variables 100%
• Complex Derivatives 100%
• Numerical Results 33%
• Rapid Growth 33%
• Numerical Methods 33%
• Nonlinearity 33%
• Pricing Method 33%
• Analytical Formula 33%
• Nonlinear Error 33%
• Financial Markets 33%
• Guaranteed Minimum Withdrawal Benefits 33%
• Vulnerable Option 33%
• Value Function 33%
• Most Complex 33%
• Pricing Derivatives 33%
• Financial Contracts 33%
• Insurance Contract 33%
• Multiphase Process 33%
• Financial Goals 33%
• Defaultable Bond 33%
• Orthogonalization 33%
• Correlated Processes 33%
• Multivariate Derivatives 33%

Economics, Econometrics and Finance

• Pricing 100%
• Nonlinearity 100%
• Financial Market 50%
• Derivative Pricing 50%
• Numerical Methods 50%
• Price 50%

Mathematics

• Lattices 100%
• Nonlinearity 28%
• Wide Range 14%
• Analytical Formula 14%
• Function Value 14%
• Rapid Growth 14%
• Correlated Process 14%
• Phase Method 14%
• Mathematical Method 14%