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by ADoyen
October 8th, 2002, 2:49 pm
Forum: Technical Forum
Topic: Implementing Hull White Trinomial Tree
Replies: 6
Views: 193112

Implementing Hull White Trinomial Tree

<t>I had found this article...But when he says :" we match these by branching from x*i,j to one of x*i+1,k-1 x*i+1,k and x*i+1,k+1 where k is chosen so that x*i+1,k is as close as possible to x*i,j+Mi x*i,j deltaT....for node i,j+1 you won't necessary branch from x*i,j+1 to one of x*i+1,k x*i+1,k+1 ...
by ADoyen
October 8th, 2002, 2:22 pm
Forum: Technical Forum
Topic: Implementing Hull White Trinomial Tree
Replies: 6
Views: 193112

Implementing Hull White Trinomial Tree

I'd like to implement the case where volatility parameters are time dependent.I search more information about branchings ,probability....Do we obtain a recombining tree with this method?