Efficient option valuation using trees
Authors:
David C. Heath; Stefano Herzel
DOI:
10.1080/13504860210146711
Publication Frequency:
6 issues per year
Number of References: 14
Formats available:
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Abstract
An algorithm is proposed for the discrete approximation of continuous market price processes that uses trees instead of lattices. It is shown that it is convergent when used for pricing both European and American options and that it is more efficient, for some models, than the usual recombining schemes.
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| Keywords: Option Pricing; Discrete-TIME Approximations; Non-RECOMBINING Trees |
| view references (14) |

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