Building recombining trinomial trees for time-homogeneous diffusion processes

DOI10.1016/J.CAM.2019.112351zbMATH Open1432.91127OpenAlexW2962701988WikidataQ127452839 ScholiaQ127452839MaRDI QIDQ2279897FDOQ2279897

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

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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)

Cites Work

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

Cited In (2)

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

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