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Martingale Preserving Tree Analytics
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Derivative securities--Valuation
- Item Type:
- Essay
- Tag(s):
- Martingale Preserving Tree
- Permanent URL:
- https://doi.org/10.17613/z762-wc53
- Abstract:
- We propose a three-factor tree model that implements the Hull-White and Black-Karasinski models. The new tree model does preserve the martingale property of the stock for sufficiently long terms (with accuracy better that 10-8 for terms of at least 10 years).
- Notes:
- https://finpricing.com/lib/FiBondCoupon.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 1 year ago
- License:
- Attribution
- Share this:
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preservingtree.pdf