Essays about: "recombinant tree"

Found 1 essay containing the words recombinant tree.

  1. 1. Optimizing the Number of Time-steps Used in Option Pricing

    University essay from Linköpings universitet/Institutionen för datavetenskap

    Author : Hugo Lewenhaupt; [2019]
    Keywords : Option pricing; binomial trees; machine learning; deep learning; discretization methods; optimization; recombinant tree; convergence;

    Abstract : Calculating the price of an option commonly uses numerical methods and can becomputationally heavy. In general, longer computations result in a more precisresult. As such, improving existing models or creating new models have been thefocus in the research field. READ MORE