Multivariate Binomial Approximations for Asset Prices with Nonstationary Variance and Covariance Characteristics

In this article, we suggest an efficient method of approximating a general, multivariate log-normal distribution by a multivariate binomial process. There are two important features of such multivariate distributions. First, the state variables may have volatilities that change over time. Second, th...

Ausführliche Beschreibung