We implement a Rubinstein-type (1994) implied binomial tree using an Excel spreadsheet, but without using VBA (Visual Basic Application). We demonstrate both the optimization needed to generate ...
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Using Decision Trees in Finance
Decision trees are major components of finance, philosophy, and decision analysis in university classes. Yet, many students ...
Vol. 70, No. 10, Special Issue: Computational Approaches and Data Analytics in Financial Services (OCTOBER 2019), pp. 1678-1691 (14 pages) Published By: Taylor & Francis, Ltd. This article introduces ...
We study 20 different implementation methodologies for each of 11 different choices of parameters of binomial trees and investigate the speed of convergence for pricing American put options ...
We introduce a decoupling method for the approximation of lognormal stock price processes using multivariate binomial trees and compare it with standard multivariate approaches. The advantages of the ...
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