Tseng, Chung-Li; Miao, Daniel Wei-Chung; Chung, San-Lin; … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-32
guarantee lattice feasibility, referring to the property that all branching probabilities at all nodes in all stages of a … further exploited. A theoretical framework of lattice feasibility is developed in this paper, which is used to investigate how … negative probabilities may impact option pricing in a lattice approach. It is shown in this paper that lattice feasibility can …
