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    Joshi’s Split Tree for Option Pricing 

    Leduc, Guillaume; Hot, Merima Nurkanovic (MDPI, 2020)
    In a thorough study of binomial trees, Joshi introduced the split tree as a two-phase binomial tree designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied to pricing American ...

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    Author
    Hot, Merima Nurkanovic (1)
    Leduc, Guillaume (1)
    SubjectAmerican options (1)
    Binomial option pricing (1)
    Black–Scholes (1)
    Error analysis for non-self-similar binomial trees (1)... View MoreDate Issued2020 (1)Has File(s)
    Yes (1)

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