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Optimal tree methods
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2014
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| _version_ | 1867613186959605761 |
|---|---|
| access_status_str | Open Access |
| author | Rudd, Ralph |
| author2 | McWalter, Thomas |
| author_browse | McWalter, Thomas Rudd, Ralph |
| author_facet | McWalter, Thomas Rudd, Ralph |
| author_sort | Rudd, Ralph |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8567 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:08.355Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8567 Optimal tree methods Rudd, Ralph McWalter, Thomas Taylor, David Includes bibliographical references. Although traditional tree methods are the simplest numerical methods for option pricing, much work remains to be done regarding their optimal parameterization and construction. This work examines the parameterization of traditional tree methods as well as the techniques commonly used to accelerate their convergence. The performance of selected, accelerated binomial and trinomial trees is then compared to an advanced tree method, Figlewski and Gao's Adaptive Mesh Model, when pricing an American put and a Down-And-Out barrier option. 2014-10-17T10:12:59Z 2014-10-17T10:12:59Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/8567 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Rudd, Ralph Optimal tree methods |
| thesis_degree_str | Master's |
| title | Optimal tree methods |
| title_full | Optimal tree methods |
| title_fullStr | Optimal tree methods |
| title_full_unstemmed | Optimal tree methods |
| title_short | Optimal tree methods |
| title_sort | optimal tree methods |
| url | http://hdl.handle.net/11427/8567 |
| work_keys_str_mv | AT ruddralph optimaltreemethods |