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.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:BVAU.2429/10625 |
| Date | 11 1900 |
| Creators | Ho, Andy C.T. |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Relation | UBC Retrospective Theses Digitization Project [http://www.library.ubc.ca/archives/retro_theses/] |
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