trinomial tree การใช้

• Chriss helped extend their work from binomial to trinomial trees.
• The Trinomial tree is a similar model, allowing for an up, down or stable path.
• The model is best understood visually-see, for example Trinomial Tree Option Calculator ( Peter Hoadley ).
• A simple method for calculating the value of a convertible involves calculating the present value of future interest and binomial-and trinomial trees.
• A variant on the Binomial, is the Trinomial tree, to produce more accurate results than the binomial model when fewer time steps are modelled, and is therefore used when computational speed or resources may be an issue.
• The initial lattice is built by discretizing either a short-rate model, such as Hull-White or Black Derman Toy, or a forward rate-based model, such as the LIBOR market model or HJM . As for equity, trinomial trees may also be employed for these models; this is usually the case for Hull-White trees.
• The model belongs to the class of trinomial models and the difference to the standard trinomial tree is the following : if \ Delta t denotes the waiting time between two movements of the stock price then in the KKL-model \ Delta t remains finite and exponentially distributed whereas in trinomial trees the time is discrete and the limit \ Delta t \ rightarrow 0 is taken by numerical extrapolation afterwards.
• The model belongs to the class of trinomial models and the difference to the standard trinomial tree is the following : if \ Delta t denotes the waiting time between two movements of the stock price then in the KKL-model \ Delta t remains finite and exponentially distributed whereas in trinomial trees the time is discrete and the limit \ Delta t \ rightarrow 0 is taken by numerical extrapolation afterwards.