International audienceTree methods are among the most popular numerical methods to price financial derivatives. Mathematically speaking, they are easy to understand and do not require severe implementation skills to obtain algorithms to price financial derivatives. Tree methods basically consist in approximating the diffusion process modeling the underlying asset price by a discrete random walk. In this contribution, we provide a survey of tree methods for equity options, which focus on multiplicative binomial Cox-Ross-Rubinstein model
A derivative is a financial instrument which is constructed from other more basic underlying assets,...
I am a big fan of trees. It is a very nice way to see how financial pricing works, for derivatives. ...
Pricing options on a stock that pays discrete dividends has not been satisfactorily settled because ...
International audienceTree methods are among the most popular numerical methods to price financial d...
International audienceTree methods are among the most popular numerical methods to price financial d...
We present a tree algorithm, called the willow tree, for financial derivative pricing. The setup of...
We present a tree algorithm, called the willow tree, for financial derivative pricing. The setup of...
Stock Options are financial instruments whose values depend upon future price movements of the under...
Most derivatives do not have simple valuation formulas and must be priced by numerical methods. Howe...
Most derivatives do not have simple valuation formulas and must be priced by nu-merical methods such...
Lattice methods or tree methods play an important role in option pricing. They are robust, and relat...
In this paper a direct generalisation of the recombining binomial tree model by Cox et al. (J Financ...
Due to the development of the pricing theory, options, as one of the most important financial deriva...
This thesis deals with the application of binomial option pricing in a single-asset Black-Scholes ma...
I am a big fan of trees. It is a very nice way to see how financial pricing works, for derivatives. ...
A derivative is a financial instrument which is constructed from other more basic underlying assets,...
I am a big fan of trees. It is a very nice way to see how financial pricing works, for derivatives. ...
Pricing options on a stock that pays discrete dividends has not been satisfactorily settled because ...
International audienceTree methods are among the most popular numerical methods to price financial d...
International audienceTree methods are among the most popular numerical methods to price financial d...
We present a tree algorithm, called the willow tree, for financial derivative pricing. The setup of...
We present a tree algorithm, called the willow tree, for financial derivative pricing. The setup of...
Stock Options are financial instruments whose values depend upon future price movements of the under...
Most derivatives do not have simple valuation formulas and must be priced by numerical methods. Howe...
Most derivatives do not have simple valuation formulas and must be priced by nu-merical methods such...
Lattice methods or tree methods play an important role in option pricing. They are robust, and relat...
In this paper a direct generalisation of the recombining binomial tree model by Cox et al. (J Financ...
Due to the development of the pricing theory, options, as one of the most important financial deriva...
This thesis deals with the application of binomial option pricing in a single-asset Black-Scholes ma...
I am a big fan of trees. It is a very nice way to see how financial pricing works, for derivatives. ...
A derivative is a financial instrument which is constructed from other more basic underlying assets,...
I am a big fan of trees. It is a very nice way to see how financial pricing works, for derivatives. ...
Pricing options on a stock that pays discrete dividends has not been satisfactorily settled because ...