RT Journal Article SR Electronic T1 A Frequency Distribution Approach to Valuing Maximum Options JF The Journal of Derivatives FD Institutional Investor Journals SP 52 OP 62 DO 10.3905/jod.2001.319157 VO 8 IS 3 A1 Edwin H. Neave A1 Serge Slavinsky YR 2001 UL https://pm-research.com/content/8/3/52.abstract AB “Pricing path-dependent options presents significant challenges, especially when they also involve American exercise. Taking account of every possible path for the price of the underlying over time and aggregating the payoffs can lead to an enormous computational burden. In this article, Neave and Slavinsky present a technique for greatly increasing efficiency in a lattice implementation, using as an example, an option on the maximum asset price attained over the option&'s lifetime. Since the total number of possible payoffs is much smaller than the number of distinct paths through the lattice, it is much more efficient to bundle equal value paths together first, and apply the total probability to the common payoff for that bundle. As a bonus, the authors provide a computer code to perform the calculations.”