期刊名称：American Journal of Computational Mathematics
印刷版ISSN：2161-1203
电子版ISSN：2161-1211
出版年度：2013
卷号：03
期号：04
页码：291-296
DOI：10.4236/ajcm.2013.34038
语种：English
出版社：Scientific Research Publishing
摘要：In light of the fact that no existing tree algorithms can guarantee the recombination property for general Ornstein-Uhlenbeck processes with time-dependent parameters, a new trinomial recombination-tree algorithm is designed in this research. The proposed algorithm enhances the existing mechanisms in interest-rate modelings with the comparisons to [1,2] methodologies, and the proposed framework provides a more efficient way in discrete-time mean-reverting simulations.
