The Modified Willow Tree Algorithm ∗
نویسندگان
چکیده
We develop a modified willow tree algorithm for option pricing. Our numerical results show that it approximates the true prices more quickly and precisely than the binomial tree, especially in d-factor models for d = 2, 3, 4, 5. A bound on the theoretical rate of convergence of the modified willow tree algorithm is established.
منابع مشابه
Reduction Techniques for Finite (Tree) Automata
Till Mosa och Elias som gör livet så mycket roligare att leva. " Notice that the stiffest tree is most easily cracked, while the bamboo or willow survives by bending with the wind. " – Bruce Lee List of Papers This thesis is based on the following publications, which are referred to in the text by their Roman numerals. The thesis contains extended versions of all the papers. I. I developed the ...
متن کاملU.c. Riverside Botanic Gardens Spring Plant Sale
Chilopsis linearis 'Burgundy', "DESERT WILLOW" Calif. native, fast-growing small tree or large shrub w/ airy appearance; willow-like leaves & trumpet-shaped, burgundy-colored flowers over long spring/summer season; hummingbird favorite.. [30] (H*W*C*) Cupressus forbesii, "TECATE CYPRESS" Calif. native, drought tolerant, multi-trunked, evergreen tree to 25 ft. w/ cherry red bark & green-gray fol...
متن کاملU.c. Riverside Botanic Gardens Spring Plant Sale
Chilopsis linearis 'Burgundy', "DESERT WILLOW" Calif. native, fast-growing small tree or large shrub w/ airy appearance; willow-like leaves & trumpet-shaped, burgundy-colored flowers over long spring/summer season; hummingbird favorite.. [30] (H*W*C*) Cupressus forbesii, "TECATE CYPRESS" Calif. native, drought tolerant, multi-trunked, evergreen tree to 25 ft. w/ cherry red bark & green-gray fol...
متن کاملComparison of the Reproductive Potential of Anoplophora Glabripennis (motsch.) among Host Tree Species
Potential spread of the Asian longhorned beetle (Anoplophora glabripennis Motschulsky) (Coleoptera: Cerambycidae: Lamiinae: Lamiini) (ALB) in the United States is dependent upon its rates of reproduction and dispersal, particularly among host tree species that it encounters within suitable climatic regions. Therefore, the goal of this study was to measure the reproductive potential of ALB on th...
متن کاملAn analytical toolkit for polyploid willow discrimination
Polyploid breeding is an important means for creating elite willow cultivars, and therefore provokes an active demand for discriminating the ploidy levels of natural willow stands. In this study, we established an analytical toolkit for polyploid willow identification by combining molecular markers and flow cytometry (FCM). A total of 10 single-copy fully informative SSRs were chosen for marker...
متن کامل