ZHUO, XIAOYANG and MENOUKEU-PAMEN, OLIVIER
(2017)
EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT.
International Journal of Theoretical and Applied Finance, 20 (04).
p. 1750028.
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Abstract
<jats:p> In this paper, we explore two new tree lattice methods, the piecewise binomial tree and the piecewise trinomial tree for both the bond prices and European/American bond option prices assuming that the short rate is given by a generalized skew Vasicek model with discontinuous drift coefficient. These methods build nonuniform jump size piecewise binomial/trinomial tree based on a tractable piecewise process, which is derived from the original process according to a transform. Numerical experiments of bonds and European/American bond options show that our approaches are efficient as well as reveal several price features of our model. </jats:p>
Item Type: | Article |
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Depositing User: | Symplectic Admin |
Date Deposited: | 12 Jun 2017 06:38 |
Last Modified: | 19 Jan 2023 07:03 |
DOI: | 10.1142/s0219024917500285 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3007908 |
Available Versions of this Item
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Efficient Piecewise Trees for the Generalized Skew Vasicek Model with Discontinuous Drift. (deposited 02 May 2017 06:29)
- EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT. (deposited 12 Jun 2017 06:38) [Currently Displayed]