Tseng, Chung-Li; Miao, Daniel Wei-Chung; Chung, San-Lin; … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-32
. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can … guarantee lattice feasibility, referring to the property that all branching probabilities at all nodes in all stages of a … lattice are legitimate. Some practitioners have argued that negative probabilities are not necessarily ‘bad’ and may be …