Questions tagged [trinomial-tree]

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1answer
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How to find an arbitrage when the solution is not obvious (2 assets in a market)?

I am struggling to find an arbitrage in the following configuration. I know how to prove that there is an arbitrage (using the fundamental theorem of asset pricing). So I ve proven there is an ...
0
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1answer
142 views

Boyles Model for Trinomial Tree

I know that the risk neutral probabilities in Boyle's Model for the Trinomial Tree by recombining where $m=1, u.d=1$ and $u=e^{\lambda\sigma \Delta t}$ $p_u=\frac{u(V+M^2-M)-(M-1)}{(u^2-1)(u-1)}$ ...
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0answers
45 views

How to implement CallableFloatingRateBond in QuantLib?

Is there anybody has any idea (or any C++ code) to implement the pricer for the CallableFloatingRateBond in QuantLib. I want to discount and forecast the cash flows on the tree using the Hull White ...
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1answer
485 views

Trinomial Trees for Hull-White model

I am studying trinomial trees and trying to implement them in Python to compare them to the monte carlo simulation. I searched 3-4 hours in the web; but can't find any implementation on binomial or ...