A new version of the trinomial tree scheme for pricing options

zbMATH Open1353.91047MaRDI QIDQ3179119FDOQ3179119

Authors:

Publication date: 20 December 2016

Recommendations

• Pricing options based on trinomial Markov tree
• A new type of triple method for option pricing
• A cost-effective modification of the trinomial method for option pricing
• Convergence of the trinomial tree method for pricing European/American options
• scientific article; zbMATH DE number 7267415

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (8)

• Title not available (Why is that?)
• Title not available (Why is that?)
• A new type of triple method for option pricing
• Pricing options based on trinomial Markov tree
• HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
• Valueing trinomial option pricing with pseudoinverse matrix
• A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
• A cost-effective modification of the trinomial method for option pricing

This page was built for publication: A new version of the trinomial tree scheme for pricing options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3179119)