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Trinomial tree
The trinomial tree is a lattice based computational model used in financial mathematics to price options. It was developed by Phelim Boyle in 1986…
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Related topics
Related topics
9 relations
Binomial options pricing model
Black–Karasinski model
Computational model
Finite difference method
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2014
2014
Low-latency option pricing using systolic binomial trees
Aryan Tavakkoli
,
David B. Thomas
International Conference on Field-Programmable…
2014
Corpus ID: 26195923
This paper presents a novel reconfigurable hardware accelerator for the pricing of American options using the binomial-tree model…
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2013
2013
Implementing the trinomial mark–recapture–recovery model in program mark
S. Bonner
2013
Corpus ID: 62561532
Time‐varying individual covariates present a challenge in modelling data from mark–recapture–recovery (MRR) experiments of wild…
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2010
2010
Lattice Methods for No-Arbitrage Pricing of Interest Rate Securities
Toby Daglish
Jurnal derivate
2010
Corpus ID: 154476049
Closed-form solutions for derivatives pricing problems yield exact prices nearly instantaneously. But for only a handful of…
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2010
2010
Discrete-valued Levy processes and low latency financial econometrics
O. Barndorff-Nielsen
,
David G. Pollard
,
N. Shephard
2010
Corpus ID: 14143840
Motivated by features of low latency data in finance we study in detail discrete-valued Levy processes as the basis of price…
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2009
2009
Inferência bayesiana objetiva e freqüentista para a probabilidade de sucesso
Rubiane Maria Pires
2009
Corpus ID: 125223388
This study considers two discrete distributions based on Bernoulli trials: the Binomial and the Negative Binomial. We explore…
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2007
2007
Comparing the Convergence Behaviour of Binomial and Trinomial Models
Mehmet Horasanli
2007
Corpus ID: 118321047
An American option differs from a European one by the early exercise possibility. An American option can be exercised at any time…
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2005
2005
Sign Tests for Dependent Observations and Bounds for Path-Dependent Options
R. Ibragimov
,
Donald J. Brown
2005
Corpus ID: 492465
The present paper introduces new sign tests for testing for conditionally symmetric martingale-difference assumptions as well as…
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2003
2003
Trinomial-tree Based Parallel Option Price Valuations
A. Gerbessiotis
Parallel Algorithms Appl.
2003
Corpus ID: 17211072
We examine how trinomial-tree based computations such as those involved in American or European-style option price valuations can…
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1999
1999
The adaptive mesh model : a new approach to e $ cient option pricing q
Stephen Figlewski
,
B. Gao
1999
Corpus ID: 55261085
Most derivative securities must be priced by numerical techniques. These models contain `distribution errora and `nonlinearity…
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1999
1999
Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk
Dietmar P. J. Leisen
1999
Corpus ID: 16985114
This paper discusses the pitfalls in the pricing of barrier options using approximations of the underlying continuous processes…
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