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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Bibliographic Details
Main Author: Leduc, Guillaume (author)
Other Authors: Hot, Merima Nurkanovic (author)
Format: article
Published: 2020
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Online Access:http://hdl.handle.net/11073/21450
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