國立臺灣大學資訊工程學系Lyuu, Yuh-DauhYuh-DauhLyuuWu, Chi-NingChi-NingWu2006-09-272018-07-052006-09-272018-07-052003http://www.scopus.com/inward/record.url?eid=2-s2.0-1542432696&partnerID=MN8TOARShttp://scholars.lib.ntu.edu.tw/handle/123456789/304442http://ntur.lib.ntu.edu.tw/bitstream/246246/20060927122857929468/1/fea2003.pdfThe 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...application/pdf112872 bytesapplication/pdfzh-TWGARCHtrinomial treepath de-pendencyoptionconference paperhttp://ntur.lib.ntu.edu.tw/bitstream/246246/20060927122857929468/1/fea2003.pdf