A Trinomial Tree for the CIR model
碩士 === 國立臺灣大學 === 資訊工程學研究所 === 107 === The Cox–Ingersoll–Ross (CIR) model is a popular short rate model. Nawalkha and Beliaeva propose a trinomial tree for the CIR model to price zero-coupon bonds efficiently. This thesis proposes a different trinomial tree based on Dai and Lyuu. This results in smo...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6566c7 |
| Summary: | 碩士 === 國立臺灣大學 === 資訊工程學研究所 === 107 === The Cox–Ingersoll–Ross (CIR) model is a popular short rate model. Nawalkha and Beliaeva propose a trinomial tree for the CIR model to price zero-coupon bonds efficiently. This thesis proposes a different trinomial tree based on Dai and Lyuu. This results in smoother convergence.
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