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...
Saved in:
| Main Author: | Leduc, Guillaume (author) |
|---|---|
| Other Authors: | Hot, Merima Nurkanovic (author) |
| Format: | article |
| Published: |
2020
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11073/21450 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees?
by: Leduc, Guillaume
Published: (2015) -
A European option general first-order error formula
by: Leduc, Guillaume
Published: (2013) -
The Convergence Rate of Option Prices in Trinomial Trees
by: Leduc, Guillaume
Published: (2023) -
Path Independence of Exotic Options and Convergence of Binomial Approximations
by: Leduc, Guillaume
Published: (2019) -
Option convergence rate with geometric random walks approximations
by: Leduc, Guillaume
Published: (2016)