caa a22 4500 605451133 CHVBK 20210128100150.0 cr unu---uuuuu 210128e20151001xx s 000 0 eng 10.1007/s11147-015-9111-x doi (NATIONALLICENCE)springer-10.1007/s11147-015-9111-x A copula-based approach for generating lattices [Elektronische Daten] [Tianyang Wang, James Dyer, Warren Hahn] Discrete approximations such as binomial and trinomial lattices have been developed to model the intertemporal dynamics of variables in a way that also allows contingent decisions to be included at the appropriate increments in time. In this paper we present an approach for developing these types of models based on copulas. In addition to ease of implementation, a primary benefit of this approach is its generality, and we show that various binomial and trinomial approximation methods for valuing contingent claim securities in the literature are special cases of this approach, each based on a choice of a particular set of probability and/or branching parameters. Because this approach encompasses these and other cases as feasible solutions, we also show how it can be used to optimize the construction of lattices so that discretization error is minimized, and we demonstrate its application for an option pricing example. Springer Science+Business Media New York, 2015 Stochastic processes nationallicence Discrete models nationallicence Option pricing nationallicence Copulas nationallicence Wang Tianyang Department of Finance and Real Estate, Colorado State University, 80523, Fort Collins, CO, USA aut Dyer James Department of Information, Risk, and Operations Management, University of Texas at Austin, 78712, Austin, TX, USA aut Hahn Warren Department of Finance, University of Texas at Austin, 78712, Austin, TX, USA aut Review of Derivatives Research Springer US; http://www.springer-ny.com 18/3(2015-10-01), 263-289 1380-6645 18:3<263 2015 18 11147 https://doi.org/10.1007/s11147-015-9111-x text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11147-015-9111-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Wang Tianyang Department of Finance and Real Estate, Colorado State University, 80523, Fort Collins, CO, USA aut NATIONALLICENCE 700 1- Dyer James Department of Information, Risk, and Operations Management, University of Texas at Austin, 78712, Austin, TX, USA aut NATIONALLICENCE 700 1- Hahn Warren Department of Finance, University of Texas at Austin, 78712, Austin, TX, USA aut NATIONALLICENCE 773 0- Review of Derivatives Research Springer US; http://www.springer-ny.com 18/3(2015-10-01), 263-289 1380-6645 18:3<263 2015 18 11147