## Abstract We investigate the pricing performance of eight trinomial trees and one binomial tree, which was found to be most effective in an earlier study, under 20 different implementation methodologies for pricing American put options. We conclude that the binomial tree, the Tian thirdβorder mom
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Architecture independent parallel binomial tree option price valuations
β Scribed by Alexandros V. Gerbessiotis
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 260 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0167-8191
No coin nor oath required. For personal study only.
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In this study, a new approach to pricing American options is proposed and termed the canonical implied binomial (CIB) tree method. CIB takes advantage of both canonical valuation (Stutzer, 1996) and the implied binomial tree method (Rubinstein, 1994). Using simulated returns from geometric Brownian