Optimal tree methods

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dc.contributor.advisorMcWalter, Thomasen_ZA
dc.contributor.advisorTaylor, Daviden_ZA
dc.contributor.authorRudd, Ralphen_ZA
dc.date.accessioned2014-10-17T10:12:59Z
dc.date.available2014-10-17T10:12:59Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractAlthough traditional tree methods are the simplest numerical methods for option pricing, much work remains to be done regarding their optimal parameterization and construction. This work examines the parameterization of traditional tree methods as well as the techniques commonly used to accelerate their convergence. The performance of selected, accelerated binomial and trinomial trees is then compared to an advanced tree method, Figlewski and Gao's Adaptive Mesh Model, when pricing an American put and a Down-And-Out barrier option.en_ZA
dc.identifier.apacitationRudd, R. (2014). <i>Optimal tree methods</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/8567en_ZA
dc.identifier.chicagocitationRudd, Ralph. <i>"Optimal tree methods."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2014. http://hdl.handle.net/11427/8567en_ZA
dc.identifier.citationRudd, R. 2014. Optimal tree methods. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Rudd, Ralph AB - Although traditional tree methods are the simplest numerical methods for option pricing, much work remains to be done regarding their optimal parameterization and construction. This work examines the parameterization of traditional tree methods as well as the techniques commonly used to accelerate their convergence. The performance of selected, accelerated binomial and trinomial trees is then compared to an advanced tree method, Figlewski and Gao's Adaptive Mesh Model, when pricing an American put and a Down-And-Out barrier option. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Optimal tree methods TI - Optimal tree methods UR - http://hdl.handle.net/11427/8567 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8567
dc.identifier.vancouvercitationRudd R. Optimal tree methods. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8567en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.titleOptimal tree methodsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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