A new algorithm is proposed for constructing the implied recombining binomial tree. The implied tree built by the method is much more stable and reliable than that constructed using the algorithm of ...
The aim of this article is to present an efficient semi-analytic lattice methodology for derivatives pricing, as an alternative to and improvement on standard recombining binomial and trinomial trees.
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback