𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Architecture independent parallel binomial tree option price valuations

✍ 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.


πŸ“œ SIMILAR VOLUMES


Trinomial or binomial: Accelerating Amer
✍ Jiun Hong Chan; Mark Joshi; Robert Tang; Chao Yang πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 106 KB

## 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 third‐order mom

Canonical distribution, implied binomial
✍ Qiang Liu; Shuxin Guo πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 123 KB

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