A new version of the trinomial tree scheme for pricing options

MaRDI QIDQ3179119zbMATH OpenFDO

Authors

Publication date 20 December 2016

Mathematics Subject Classification ID

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

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• scientific article; zbMATH DE number 7267415

Cited in

(8)

• scientific article; zbMATH DE number 5909250 (Why is no real title available?)
• scientific article; zbMATH DE number 7267415 (Why is no real title available?)
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• 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

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