{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T07:33:17Z","timestamp":1740123197878,"version":"3.37.3"},"reference-count":26,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T00:00:00Z","timestamp":1507593600000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2018,7]]},"DOI":"10.1007\/s10479-017-2655-4","type":"journal-article","created":{"date-parts":[[2017,10,10]],"date-time":"2017-10-10T08:52:20Z","timestamp":1507625540000},"page":"101-127","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal\u2019s simplex"],"prefix":"10.1007","volume":"266","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8828-0155","authenticated-orcid":false,"given":"Dirk","family":"Sierag","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Bernard","family":"Hanzon","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2017,10,10]]},"reference":[{"issue":"4","key":"2655_CR1","doi-asserted-by":"crossref","first-page":"289","DOI":"10.1111\/j.1467-9965.1994.tb00059.x","volume":"4","author":"KI Amin","year":"1994","unstructured":"Amin, K. I., & Khanna, A. (1994). Convergence of american option values from discrete- to continuous-time financial models. Mathematical Finance, 4(4), 289\u2013304.","journal-title":"Mathematical Finance"},{"key":"2655_CR2","doi-asserted-by":"crossref","DOI":"10.1093\/0199271267.001.0001","volume-title":"Arbitrage theory in continuous time","author":"T Bj\u00f6rk","year":"2004","unstructured":"Bj\u00f6rk, T. (2004). Arbitrage theory in continuous time (2nd ed.). Oxford: Oxford University Press.","edition":"2"},{"issue":"3","key":"2655_CR3","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"F Black","year":"1973","unstructured":"Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637\u2013654.","journal-title":"Journal of Political Economy"},{"key":"2655_CR4","volume-title":"Algebraic polynomial system solving and applications","author":"IWM Bleylevens","year":"2010","unstructured":"Bleylevens, I. W. M. (2010). Algebraic polynomial system solving and applications (1st ed.). Maastricht: Maastricht University.","edition":"1"},{"key":"2655_CR5","first-page":"7","volume":"3","author":"PP Boyle","year":"1986","unstructured":"Boyle, P. P. (1986). Option valuation using a three-jump process. International Options Journal, 3, 7\u201312.","journal-title":"International Options Journal"},{"issue":"1","key":"2655_CR6","doi-asserted-by":"crossref","first-page":"1","DOI":"10.2307\/2331019","volume":"23","author":"PP Boyle","year":"1988","unstructured":"Boyle, P. P. (1988). A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis, 23(1), 1\u201312.","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"2","key":"2655_CR7","doi-asserted-by":"crossref","first-page":"241","DOI":"10.1093\/rfs\/2.2.241","volume":"2","author":"PP Boyle","year":"1989","unstructured":"Boyle, P. P., Evnine, J., & Gibbs, S. (1989). Numerical evaluation of multivariate contingent claims. The Review of Financial Studies, 2(2), 241\u2013250.","journal-title":"The Review of Financial Studies"},{"issue":"4","key":"2655_CR8","doi-asserted-by":"crossref","first-page":"649","DOI":"10.2307\/3595015","volume":"37","author":"R-R Chen","year":"2002","unstructured":"Chen, R.-R., Chung, S.-L., & Yang, T. T. (2002). Option pricing in a multi-asset, complete market economy. Journal of Financial and Quantitative Analysis, 37(4), 649\u2013666.","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"2655_CR9","first-page":"69","volume":"4","author":"O Cheyette","year":"1990","unstructured":"Cheyette, O. (1990). Pricing options on multiple assets. Advances in Futures and Options Research, 4, 69\u201381.","journal-title":"Advances in Futures and Options Research"},{"key":"2655_CR10","doi-asserted-by":"crossref","first-page":"229","DOI":"10.1016\/0304-405X(79)90015-1","volume":"7","author":"JC Cox","year":"1979","unstructured":"Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7, 229\u2013263.","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"2655_CR11","doi-asserted-by":"crossref","first-page":"363","DOI":"10.2307\/1911241","volume":"53","author":"JC Cox","year":"1985","unstructured":"Cox, J. C., Ingersoll, J., & Ross, S. A. (1985). An intertemporal general equilibrium model of asset prices. Econometrica, 53(2), 363\u2013384.","journal-title":"Econometrica"},{"issue":"2","key":"2655_CR12","doi-asserted-by":"crossref","first-page":"214","DOI":"10.1016\/0377-2217(95)00279-0","volume":"91","author":"N Ekvall","year":"1996","unstructured":"Ekvall, N. (1996). A lattice approach for pricing of multivariate contingent claims. European Journal of Operational Research, 91(2), 214\u2013228.","journal-title":"European Journal of Operational Research"},{"issue":"1","key":"2655_CR13","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1111\/j.1540-6261.1978.tb03396.x","volume":"33","author":"S Fischer","year":"1978","unstructured":"Fischer, S. (1978). Call option pricing when the exercise price is uncertain, and the valuation of index bonds. The Journal of Finance, 33(1), 169\u2013176.","journal-title":"The Journal of Finance"},{"issue":"5","key":"2655_CR14","doi-asserted-by":"crossref","first-page":"453","DOI":"10.1080\/13504860701532237","volume":"14","author":"A Gamba","year":"2007","unstructured":"Gamba, A., & Trigeorgis, L. (2007). An improved binomial lattice method for multi-dimensional options. Applied Mathematical Finance, 14(5), 453\u2013475.","journal-title":"Applied Mathematical Finance"},{"key":"2655_CR15","volume-title":"Constructive algebra and systems theory","author":"B Hanzon","year":"2006","unstructured":"Hanzon, B., & Hazewinkel, M. (2006). Constructive algebra and systems theory (1st ed.). Amsterdam: Royal Netherlands Academy of Arts and Sciences.","edition":"1"},{"issue":"3","key":"2655_CR16","doi-asserted-by":"crossref","first-page":"240","DOI":"10.1007\/PL00009869","volume":"13","author":"B Hanzon","year":"2000","unstructured":"Hanzon, B., & Peeters, R. L. M. (2000). Balanced parametrizations of stable siso all-pass systems in discrete time. Mathematics of Control, Signals, and Systems (MCSS), 13(3), 240\u2013276.","journal-title":"Mathematics of Control, Signals, and Systems (MCSS)"},{"issue":"4","key":"2655_CR17","doi-asserted-by":"crossref","first-page":"523","DOI":"10.1093\/rfs\/3.4.523","volume":"3","author":"H He","year":"1990","unstructured":"He, H. (1990). Convergence from discrete- to continuous-time contingent claims prices. The Review of Financial Studies, 3(4), 523\u2013546.","journal-title":"The Review of Financial Studies"},{"issue":"1","key":"2655_CR18","doi-asserted-by":"crossref","first-page":"101","DOI":"10.1080\/14697688.2013.793815","volume":"14","author":"JE Hilliard","year":"2014","unstructured":"Hilliard, J. E. (2014). Robust binomial lattices for univariate and multivariate applications: Choosing probabilities to match local densities. Quantitative Finance, 14(1), 101\u2013110.","journal-title":"Quantitative Finance"},{"issue":"4","key":"2655_CR19","doi-asserted-by":"crossref","first-page":"1125","DOI":"10.1093\/rfs\/8.4.1125","volume":"8","author":"TS Ho","year":"1995","unstructured":"Ho, T. S., Stapleton, R. C., & Subrahmanyam, M. G. (1995). Multivariate binomial approximations for asset prices with nonstationary variance and covariance characteristics. The Review of Financial Studies, 8(4), 1125\u20131152.","journal-title":"The Review of Financial Studies"},{"issue":"3","key":"2655_CR20","doi-asserted-by":"crossref","first-page":"277","DOI":"10.2307\/2330963","volume":"22","author":"H Johnson","year":"1987","unstructured":"Johnson, H. (1987). Options on the maximum or the mimimum of several assets. Journal of Financial and Quantitative Analysis, 22(3), 277\u2013283.","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"12","key":"2655_CR21","doi-asserted-by":"crossref","first-page":"1640","DOI":"10.1287\/mnsc.37.12.1640","volume":"37","author":"B Kamrad","year":"1991","unstructured":"Kamrad, B., & Ritchken, P. (1991). Multinomial approximating models for options with k state variables. Management Science, 37(12), 1640\u20131652.","journal-title":"Management Science"},{"issue":"1","key":"2655_CR22","doi-asserted-by":"crossref","first-page":"177","DOI":"10.1111\/j.1540-6261.1978.tb03397.x","volume":"33","author":"W Margrabe","year":"1978","unstructured":"Margrabe, W. (1978). The value of an option to exchange one asset for another. The Journal of Finance, 33(1), 177\u2013186.","journal-title":"The Journal of Finance"},{"issue":"2","key":"2655_CR23","first-page":"41","volume":"6","author":"PA Samuelson","year":"1965","unstructured":"Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2), 41\u201350.","journal-title":"Industrial Management Review"},{"key":"2655_CR24","volume-title":"Stochastic calculus for finance I: The binomial asset pricing model","author":"SE Shreve","year":"2004","unstructured":"Shreve, S. E. (2004a). Stochastic calculus for finance I: The binomial asset pricing model. New York: Springer."},{"key":"2655_CR25","volume-title":"Stochastic calculus for finance II: Continuous-time models","author":"SE Shreve","year":"2004","unstructured":"Shreve, S. E. (2004b). Stochastic calculus for finance II: Continuous-time models. New York: Springer."},{"key":"2655_CR26","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1016\/0304-405X(82)90011-3","volume":"10","author":"RM Stulz","year":"1982","unstructured":"Stulz, R. M. (1982). Options on the mimimum or the maximum of two risky assets: Analysis and applications. Journal of Financial Economics, 10, 161\u2013185.","journal-title":"Journal of Financial Economics"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-017-2655-4\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-017-2655-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-017-2655-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,5,31]],"date-time":"2018-05-31T10:07:00Z","timestamp":1527761220000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-017-2655-4"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,10,10]]},"references-count":26,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2018,7]]}},"alternative-id":["2655"],"URL":"https:\/\/doi.org\/10.1007\/s10479-017-2655-4","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"type":"print","value":"0254-5330"},{"type":"electronic","value":"1572-9338"}],"subject":[],"published":{"date-parts":[[2017,10,10]]}}}