Скачать или смотреть Tian (1993) model for pricing American Options using C++ code in Google Colab

Tian (1993) Option pricing based on C++ code

For an explanation of how to optimize C++ code for Binomial please check here:
https://sites.google.com/view/vinegar...

Python code implemented here:
   • Tian (1993) model for pricing American Opt...  

Matlab code implemented here:
   • Tian (1993) model for  American Options us...  

R code implemented here:
   • Tian (1993) model for pricing American Opt...  

To review code please check here
https://sites.google.com/view/vinegar...

To review Google Colab:
https://colab.research.google.com/dri...

Please see Journal of Futures Markets
https://onlinelibrary.wiley.com/doi/a...

Cox, Ross, Rubinstein (1979, CRR) are most associated with the development of the binomial model framework for pricing options and there lattice framework is probably the one most frequently used in classrooms - in part because it extends naturally from Black Scholes and in part because the CRR simplified approach has been more intuitively appealing. In applying their numerical approach CRR noted that higher accuracy could be achieved by incorporating a larger number of time steps to trees. Broadie and Detemple (1996) obtained the “true” value of American options by elaborating a 15,000-step benchmark binomial model for CRR. Using probabilistic methods, Amin and Khanna (1994) proved that the discrete-time models converge to the corresponding continuous-time models. This is important, as it provides a roadmap for establishing accuracy benchmarks. A number of variants of the original CRR trees have been proposed. Leisen and Reimer (1996, LR) and Tian (1993, Tian) reconstructed the CRR binomial model by modifying the effect of parameters on jumps between nodes and probabilities. Tian (1993) proposed that the binomial parameters is selected such that discrete-time distribution converges to the continuous-time distribution.