We present a tree algorithm, called the willow tree, for financial derivative pricing. The
setup of the tree uses a fixed number of spatial nodes at each time step. The transition
probabilities are determine by solving linear programming problems. The willow tree
method is radically superior in numerical performance when compared to the binomial
tree method. / Science, Faculty of / Mathematics, Department of / Graduate
| Identifer | oai:union.ndltd.org:UBC/oai:circle.library.ubc.ca:2429/10625 |
| Date | 11 1900 |
| Creators | Ho, Andy C.T. |
| Source Sets | University of British Columbia |
| Language | English |
| Detected Language | English |
| Type | Text, Thesis/Dissertation |
| Format | 1494640 bytes, application/pdf |
| Rights | For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use. |
Page generated in 0.002 seconds