Lattice approach and implied trees

DOI10.1007/978-3-642-17254-0_20MaRDI QIDQ3112473zbMATH OpenOpenAlexFDO

Authors Rüdiger U. Seydel

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-17254-0_20

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(9)

• Implied trinomial trees and their implementation with XploRe
• The waterline tree for separable local-volatility models
• The concavity of the payoff function of a swing option in a binomial model
• Pricing volatility options via the lattice algorithm
• A copula-based approach for generating lattices
• Numerics of Implied Binomial Trees
• Implied non-recombining trees and calibration for the volatility smile
• A novel numerical scheme for Black-Scholes PDEs modeling pricing securities
• Lean trees -- a general approach for improving performance of lattice models for option pricing

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