Concepedia

Trinomial Trees

Trinomial Trees is a lattice-based computational method in derivative pricing that models the evolution of asset prices by allowing three possible price movements—up, down, or unchanged—at each time step, thereby providing a discrete-time approximation of the underlying stochastic process.

45

Publications

2.8K

Citations

95

Authors

56

Institutions

Publications per year

2017–2026

9

Parents

Publications

45

Pricing and hedging derivative securities in markets with uncertain volatilities

M. Avellaneda, Arnon Levy, Antonio Paras · Applied Mathematical Finance · 1995 · 701 citations

, , +17

Theoretical and empirical review of multinomial process tree modeling

William H. Batchelder, David M. Riefer · Psychonomic Bulletin & Review · 1999 · 632 citations · Full text

, , +8

Option pricing with regime switching by trinomial tree method

Fei Lung Yuen, Hailiang Yang · Journal of Computational and Applied Mathematics · 2009 · 120 citations · Full text

, , +13

Valuing Energy Options in a One Factor Model Fitted to Forward Prices

Les Clewlow, Chris Strickland · SSRN Electronic Journal · 1999 · 108 citations · Full text

, , +17

Calibration of the local volatility in a trinomial tree using Tikhonov regularization

S Cr pey · Inverse Problems · 2002 · 98 citations

, , +17

1–5 of 45

Authors

95

  1. HY
    Hailiang Yang

    University of Hong Kong, Hong Kong SAR China

    3 publications · 198 citations

    3

    h-index

  2. FL
    Fei Lung Yuen

    University of Hong Kong, Hong Kong SAR China

    3 publications · 198 citations

    3

    h-index

  3. DB
    Dan Buffum

    Bank of America, United States

    2 publications · 130 citations

    2

    h-index

  4. CS
    Chris Strickland

    Pacific Northwest National Laboratory, United States

    2 publications · 130 citations

    2

    h-index

  5. YL
    Yuh‐Dauh Lyuu

    National Taiwan University, Taiwan

    2 publications · 84 citations

    2

    h-index

1–5 of 95

Institutions

56

  1. University of Hong Kong

    Pok Fu Lam, Hong Kong

    3 h-index

    6 publications

    396 citations

  2. University of Toronto

    Toronto, Canada

    2 h-index

    3 publications

    43 citations

  3. National Taipei University

    Taipei, Taiwan

    2 h-index

    2 publications

    84 citations

  4. National Taiwan University

    Taipei, Taiwan

    2 h-index

    3 publications

    110 citations

  5. Equipes Traitement de l'Information et Systèmes

    Cergy-Pontoise, France

    1 h-index

    1 publications

    27 citations

  6. Escola Brasileira de Economia e Finanças

    Rio de Janeiro, Brazil

    1 h-index

    1 publications

    16 citations

  7. Duke University

    Durham, United States

    1 h-index

    2 publications

    74 citations

  8. Swiss Finance Institute

    Zurich, Switzerland

    1 h-index

    1 publications

    27 citations

1–8 of 56

Venues

  1. SSRN Electronic Journal

    Repository · 6 publications · 255 citations

    6

    h-index

  2. The Journal of Derivatives

    4 publications · 108 citations

    4

    h-index

  3. The Journal of Computational Finance

    2 publications · 110 citations

    2

    h-index

  4. 2

    h-index

  5. Journal of Futures Markets

    2 publications · 55 citations

    2

    h-index

1–5