We implement a Rubinstein-type (1994) implied binomial tree using an Excel spreadsheet, but without using VBA (Visual Basic Application). We demonstrate both the optimization needed to generate ...
9monon MSN
Using Decision Trees in Finance
Decision trees are major components of finance, philosophy, and decision analysis in university classes. Yet, many students ...
The paper studies the binomial tree method for American options in a jump-diffusion model. We employ the theory of viscosity solution to show uniform convergence of the binomial tree method for ...
We study 20 different implementation methodologies for each of 11 different choices of parameters of binomial trees and investigate the speed of convergence for pricing American put options ...
A new algorithm is proposed for constructing the implied recombining binomial tree. The implied tree built by the method is much more stable and reliable than that constructed using the algorithm of ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback