Analysis of willow tree algorithms
Date Issued
2016
Date
2016
Author(s)
Lin, Yu-Hung
Abstract
Curran developed an algorithm, called willow tree algorithm, for option pricing in 2001. We compared three existing willow tree algorithms. The algorithm developed by Xu et al. in 2012 has minimum error in our experiments. We developed a willow tree algorithm for non-uniform distribution models, and applied it successfully on the CIR model.
Subjects
mathematical finance
option pricing
numerical method
tree algorithm
Type
thesis
File(s)
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Name
ntu-105-R03922153-1.pdf
Size
23.32 KB
Format
Adobe PDF
Checksum
(MD5):001c1ee77c0dba10d6e851f0fc888bb4