Excel VBA codes for "An Efficient Lattice Search Algorithm for the Early Exercise Boundary in American Options"

Published: 12 February 2019| Version 3 | DOI: 10.17632/n767hz78r7.3
Brian Byrne, Qianru Shang


This file provides Excel VBA codes of accelerated CRR binomial models: 1. “CRR_Conventional” model represents a two-dimensional static CRR binomial tree and does not apply any lattice search or acceleration techniques. 2. “CRR_Dynamic” model employs a one-dimensional dynamic tree. 3. “CRR_Dyn_Boundary” model augments the dynamic binomial tree using the intelligent lattice search algorithm. 4. “CRR_Dyn_Bound_Truncation” model is the most accelerated binomial model which comprehensively applies efficient lattice search, dynamic memory and truncation techniques.



Computer Modeling in Finance, Option Pricing Theory