A General Computational Method for Calibration Based on Differential Trees
Journal
Journal of Derivatives
Journal Volume
7
Journal Issue
1
Pages
79-90
Date Issued
1999-07-23
Date
1999-07-23
Author(s)
DOI
20060927122858195555
Abstract
The differential tree method for model calibration is a very simple idea. The method is particularly applicable when the model under consideration has a tree (lattice) structure. We illustrate its wide applicability with three canonical problems: no-arbitrage interest rate model calibration, spread and option-adjusted spread of nonbenchmark bonds, and implied volatility of American- style options. Comprehensive computer experiments show the differential tree method to be highly efficient in all three case studies.
Publisher
臺北市:國立臺灣大學資訊工程學系
Type
journal article
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