Abstract
We survey the history and application of binomial tree methods in option pricing. Further, we highlight some recent developments and point out problems for future research.
Both authors thank the Rheinland-Pfalz Cluster of Excellence DASMOD and the Research Center (CM)² for support. Ralf Korn would like to dedicate this survey to the memory of Prof. Dr. Jürgen Lehn.
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Korn, R., Müller, S. (2010). Binomial Trees in Option Pricing—History, Practical Applications and Recent Developments. In: Devroye, L., Karasözen, B., Kohler, M., Korn, R. (eds) Recent Developments in Applied Probability and Statistics. Physica-Verlag HD. https://doi.org/10.1007/978-3-7908-2598-5_3
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DOI: https://doi.org/10.1007/978-3-7908-2598-5_3
Publisher Name: Physica-Verlag HD
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Online ISBN: 978-3-7908-2598-5
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