Efficient option valuation using trees

David Heath and Stefano Herzel

Applied Mathematical Finance, 2002, vol. 9, issue 3, 163-178

Abstract: An algorithm is proposed for the discrete approximation of continuous market price processes that uses trees instead of lattices. It is shown that it is convergent when used for pricing both European and American options and that it is more efficient, for some models, than the usual recombining schemes.

Keywords: Option Pricing; Discrete-TIME Approximations; Non-RECOMBINING Trees (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1080/13504860210146711

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