Lean trees - A general approach for improving performance of lattice models for option pricing

Review of Derivatives Research

Volumn 7, Issue 1, 2004, Pages 53-72

  Baule, Rainer ^a   Wilkens, Marco ^b  

^a UNIVERSITY OF GÖTTINGEN   (Germany)

^b CATHOLIC UNIVERSITY OF EICHSTÄTT INGOLSTADT   (Germany)

Author keywords

Lattice models; Lean trees; Numerical valuation techniques; Option pricing

Indexed keywords

EID: 4043073473     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:REDR.0000017028.57712.19     Document Type: Article

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