Complexity of the ritchken-trevor-cakici-topyan GARCH option pricing algorithm
Resource
IASTED International Conference on Financial Engineering and Applications, (FEA), 2003
Journal
IASTED International Conference on Financial Engineering and Applications
Pages
113-119
Date Issued
2003
Date
2004
Author(s)
Wu, Chi-Ning
DOI
20060927122857929468
Abstract
The trinomial-tree GARCH option pricing algo-
rithm of Ritchken & Trevor (1999) is claimed to
be efficient. That algorithm is subsequently mod-
ified by Cakici & Topyan (2000). However, this
paper proves that both algorithms explode expo-
nentially when the number of partitions per day,
n, exceeds a typically small number determined
by the GARCH parameters...
Subjects
GARCH
trinomial tree
path de-pendency
option
Publisher
臺北市:國立臺灣大學資訊工程學系
Type
conference paper
File(s)![Thumbnail Image]()
Loading...
Name
fea2003.pdf
Size
110.23 KB
Format
Adobe PDF
Checksum
(MD5):45d6e2c7867dae2abd5f31b800d6f9b1