A New Trinomial Recombination Tree Algorithm and Its Applications
Peter C. L. Lin
TL;DR
This paper introduces a novel trinomial recombination tree algorithm designed to improve computational efficiency in financial modeling and demonstrates its applications in option pricing and risk assessment.
Contribution
The paper presents a new trinomial recombination tree algorithm that enhances accuracy and efficiency over existing methods in financial computations.
Findings
Improved computational speed in option pricing models
Enhanced accuracy in risk assessment applications
Demonstrated versatility across multiple financial models
Abstract
A New Trinomial Recombination Tree Algorithm and Its Applications
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Taxonomy
TopicsAdvanced Data Storage Technologies · Distributed and Parallel Computing Systems · Stochastic processes and financial applications