The modified willow tree algorithm
Published in The Journal of Computational Finance • Jan 1, 2005
NobleIDNI3P94W82R78S55
Authors:,
Ulrich G. Haussmann
Liqing Yan
Abstract
We develop a modified willow tree algorithm for option pricing. Our numerical results show that it approximates the true prices more quickly and precisely than the binomial tree, especially in d-factor models for d =2, 3, 4, 5. A bound on the theoretical rate of convergence of the modified willow tr...
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