• Media type: E-Book
  • Title: Trinomial or Binomial : Accelerating American Put Option Price on Trees
  • Contributor: Chan, Jiun Hong [Author]; Joshi, Mark S. [Other]; Tang, Robert [Other]; Yang, Chao [Other]
  • Published: [S.l.]: SSRN, [2008]
  • Extent: 1 Online-Ressource (18 p)
  • Language: Not determined
  • DOI: 10.2139/ssrn.1261745
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2008 erstellt
  • Description: 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
  • Access State: Open Access