s*******i
发帖数: 546 | 1 请问binomial tree做的option pricing model主要用在什么地方。和其他方法比起来
有什么优缺点？ |
h**********k
发帖数: 168 | 2 easy to understand and implement. |
l*****i
发帖数: 3929 | 3 shortcomings:
slow speed
wacky greeks
etc.
【在 s*******i 的大作中提到】
: 请问binomial tree做的option pricing model主要用在什么地方。和其他方法比起来
: 有什么优缺点？
|
A*****s
发帖数: 13748 | 4 in discrete model simulation, you never know what the hell are you doing at
all
【在 s*******i 的大作中提到】
: 请问binomial tree做的option pricing model主要用在什么地方。和其他方法比起来
: 有什么优缺点？
|
h*y
发帖数: 1289 | 5 Binomial Tree is fast, at least compared to MC simulation.
It's somehow like the explicit finite difference. By choosing right
parameter, we avoid the instability in explicit FD.
Similar to FD, one shortcoming for BT I would say is the dimension. For two
underlying processes, you may still build a pyramid. But if there are more
than two underlying processes, it's probably better to do simulation. |
h*******n
发帖数: 24 | 6 Agree with "hhy". And also the tree approximation method is a discrete-time
model no matter how many dimensions it has. Thus the price obtained from the
model could have bias. |
