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Investigators from National Taiwan University Zero in on Computational Mathematics (The hexanomial lattice for pricing multi-asset options)

July 22, 2014

By a News Reporter-Staff News Editor at Journal of Mathematics -- Investigators publish new report on Computational Mathematics. According to news reporting originating in Taipei, Taiwan, by VerticalNews journalists, research stated, "Multi-asset options are important financial derivatives. Because closed-form solutions do not exist for most of them, numerical alternatives such as lattice are mandatory."

The news reporters obtained a quote from the research from National Taiwan University, "But lattices that require the correlation between assets to be confined to a narrow range will have limited uses. Let rho(ij) denote the correlation between assets i and j. This paper defines a (correlation) optimal lattice as one that guarantees validity as long as -1 + O(root Delta t)

According to the news reporters, the research concluded: "Experiments confirm its excellent numerical performance compared with alternative lattices."

For more information on this research see: The hexanomial lattice for pricing multi-asset options. Applied Mathematics and Computation, 2014;233():463-479. Applied Mathematics and Computation can be contacted at: Elsevier Science Inc, 360 Park Ave South, New York, NY 10010-1710, USA. (Elsevier -; Applied Mathematics and Computation -

Our news correspondents report that additional information may be obtained by contacting W.H. Kao, National Taiwan University, Dept. of Finance, Taipei 10617, Taiwan. Additional authors for this research include Y.D. Lyuu and K.W. Wen.

Keywords for this news article include: Asia, Taipei, Taiwan, Computational Mathematics

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Source: Journal of Mathematics

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