Efficient option valuation using trees

An algorithm is proposed for the discrete approximation of continuous market price processes that uses trees instead of lattices. It is shown that it is convergent when used for pricing both European and American options and that it is more efficient, for some models, than the usual recombining schemes.

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Year of publication:	2002
Authors:	Heath, David ; Herzel, Stefano
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 9.2002, 3, p. 163-178
Publisher:	Taylor & Francis Journals
Subject:	Option Pricing \| Discrete-TIME Approximations \| Non-RECOMBINING Trees

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005462482