Trinomial or Binomial : Accelerating American Put Option Price on Trees

We investigate the pricing performance of eight trinomial trees and one binomial tree, which was found to be most effective in an earlier paper, under twenty different implementation methodologies for pricing American put options. We conclude that the binomial tree, the Tian third order moment matching tree with truncation, Richardson extrapolation and smoothing performs better than the trinomial trees

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Year of publication:	[2008]
Authors:	Chan, Jiun Hong
Other Persons:	Joshi, Mark S. (contributor) ; Tang, Robert (contributor) ; Yang, Chao (contributor)
Publisher:	[2008]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2008 erstellt
Other identifiers:	10.2139/ssrn.1261745 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012723300