Willow tree
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 n...
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Language: | English |
Published: |
2009
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Online Access: | http://hdl.handle.net/2429/10625 |