Main category
Economics (General Management)
Abstract
We propose a two-factor tree model that implements the Hull-White and Black-Karasinski models. The new tree model does preserve the martingale property of the stock for sufficiently long terms (with accuracy better that 10-8 for terms of at least 10 years).
Further reading
https://ia904701.us.archive.org/6/items/preservingTree/preservingTree.pdf
Do you have problems viewing the pdf-file? Download presentation
here
If the presentation contains inappropriate content, please
report the presentation. You will be redirected to the landing page.
