Lean trees -- a general approach for improving performance of lattice models for option pricing

DOI10.1023/B:REDR.0000017028.57712.19zbMath1080.91026MaRDI QIDQ704007

Rainer Baule, Marco Wilkens

Publication date: 12 January 2005

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

option pricinglattice modelslean treesnumerical valuation techniques

Mathematics Subject Classification ID

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

Related Items

A copula-based approach for generating lattices ⋮ Option pricing with regime switching by trinomial tree method ⋮ Optimal stopping made easy ⋮ Efficient lattice method for valuing of options with barrier in a regime switching model ⋮ Time-consistent actuarial valuations ⋮ The dynamics of implied volatilities: a common principal components approach ⋮ Efficient calibration of trinomial trees for one-factor short rate models ⋮ An Improved Binomial Lattice Method for Multi‐Dimensional Options ⋮ A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES ⋮ Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes ⋮ Option Pricing in a Jump-Diffusion Model with Regime Switching