Leduc, Guillaume; Hot, Merima Nurkanovic - In: Risks : open access journal 8 (2020) 3/81, pp. 1-26
In a thorough study of binomial trees, Joshi introduced the split tree as a two-phase binomial tree designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied to pricing American put options. Here we introduce a "flexible" version of Joshi's tree,...
