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Thumbnail for entry Lectures 70-71: Computationally simple trees

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Lectures 70-71: Computationally simple trees

Lectures 70-71: Computationally simple trees

Lectures 70-71: Computationally simple trees

Building computationally simple trees: method of Nelson-Rawaswamy. Pricing of an option written on an exponential Ornstein-Uhlenbeck process: non-parallel and parallel MATLAB…

computationally simple trees
ornstein-uhlenbeck process
markov chain
convergence in distribution
convergence in law
parallel computing
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