Building recombining trinomial trees for time-homogeneous diffusion processes

DOI10.1016/J.CAM.2019.112351MaRDI QIDQ2279897zbMATH OpenOpenAlexWikidataFDO

Authors Wen-Kai Wang

Publication date 16 December 2019

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2019.112351

zbMATH Keywords

diffusion processrecombining treestrinomial models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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• Recombining Binomial Tree Approximations for Diffusions
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Cites work

• A comparison of lattice based option pricing models on the rate of convergence
• A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
• A theory of the term structure of interest rates
• Binomial models for option valuation - examining and improving convergence
• Convergence of the trinomial tree method for pricing European/American options
• Option pricing with regime switching by trinomial tree method
• Pricing interest-rate-derivative securities
• The pricing of options and corporate liabilities
• Tools for computational finance.

Cited in

(2)

• Recombining Binomial Tree Approximations for Diffusions
• Implied trinomial trees and their implementation with XploRe

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