Joshi’s Split Tree for Option Pricing
In a thorough study of binomial trees, Joshi introduced the split tree as a two-phase binomial tree designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied to pricing American put options. Here we introduce a “flexible” version of Joshi’s tree, and de...
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| Format: | article |
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2020
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| Online Access: | http://hdl.handle.net/11073/21450 |
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