Implied trinomial trees and their implementation with XploRe (Q1424653)
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scientific article; zbMATH DE number 2058973
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Implied trinomial trees and their implementation with XploRe |
scientific article; zbMATH DE number 2058973 |
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Implied trinomial trees and their implementation with XploRe (English)
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16 March 2004
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The implied trinomial tree (ITT) is a technique of discrete approximation of a diffusion process with varying local volatility. It is used for the solution of the option pricing problems. The author discusses the construction of ITT and possible pitfalls. Examples of XploRe software implementations of ITT technique are presented.
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diffusion process
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discrete approximation
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varying local volatility
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option pricing
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financial software
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