VBA codes of accelerated CRR binomial models
Published: 12 February 2019| Version 1 | DOI: 10.17632/n767hz78r7.1
Contributors:
Brian Byrne, Qianru ShangDescription
VBA codes of four CRR models: “CRR_Conventional” model represents a two-dimensional static CRR binomial tree and does not apply any lattice search or acceleration techniques. “CRR_Dynamic” model employs a one-dimensional dynamic tree. “CRR_Dyn_Boundary” model augments the dynamic binomial tree using the intelligent lattice search algorithm. “CRR_Dyn_Bound_Truncation” model is the most accelerated binomial model which comprehensively applies efficient lattice search, dynamic memory and truncation techniques.
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Categories
Computer Modeling in Finance, Option Pricing Theory