Cutting edges using domain integration

Zhengyun Hu, Jeroen Kerkhof, Paul McCloud, Joerg Wackertap
01 Nov 2006

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The aim of this article is to present an efficient semi-analytic lattice methodology for derivatives pricing, as an alternative to and improvement on standard recombining binomial and trinomial trees. Standard recombining trees are popular methods for pricing derivatives and are particularly convenient for pricing Bermudan and American-style call options using the backward induction algorithm (see, for example, Hull, 2006, for an overview).

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