Recombining Binomial Tree Approximations for Diffusions

DOI10.1016/S1570-8659(08)00010-0MaRDI QIDQ3631193zbMATH OpenOpenAlexFDO

Authors John van der Hoek

Publication date 5 June 2009

Published in Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s1570-8659(08)00010-0

zbMATH Keywords

approximate a diffusionfinancial derivativesrecombining binomial tree modelrisk neutral termsweak solution of a stochastic differential equation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited in

(8)

• Building recombining trinomial trees for time-homogeneous diffusion processes
• Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
• Binomial models for interest rates
• On simple binomial approximations for two variable functions in finance applications
• Recombining tree approximations for optimal stopping for diffusions
• Pairs trading based on statistical variability of the spread process
• On the convergence order of a binary tree approximation of symmetrized diffusion processes
• Approximating stochastic volatility by recombinant trees

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