Lean Trees - A General Approach for Improving Performance of Lattice Models for Option Pricing
Year of publication: |
2004
|
---|---|
Authors: | Baule, Rainer ; Wilkens, Marco |
Institutions: | Lehrstuhl für ABWL, Finanzierung und Bankbetriebslehre <Eichstätt-Ingolstadt> |
Published in: | |
Subject: | Derivat <Wertpapier> | Optionspreis | option pricing | Numerische Mathematik |
- 1. Lean Trees
- 1.1 Pruning Binomial and Trinomial Trees
- 1.2 Coarsening the Mesh of Trionomial Trees
- 1.3 Asymptotic Behavior
- 2. Numerical Results
- 2.1 American Plain-Vanilla Options
- 2.2 Path-Dependent Options
- 2.3 Multivariate Options
- 2.4 Other Exotic Options
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