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davidgi
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Posts: 16
Joined: June 29th, 2008, 1:10 pm

Rubinstein's 3D binomial tree

January 13th, 2009, 11:01 am

I've been trying to locate Rubinstein's article that explains the 3D binomial tree for two correlatted assets, but have failed to find it anywhere since no library has records of Risk Magazine going back to 1994.If anybody knows where I can get a hold of it, or has another reference that explains the tree well and in detail, I'd greatly appreciate it.The exact reference for Rubinstein's article is:Rubinstein, M., 1994, Return on oz, Risk Magazine, 7 (11), 67-72.Thanks.
 
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rmeenaks
Posts: 186
Joined: May 1st, 2006, 2:31 pm

Rubinstein's 3D binomial tree

January 13th, 2009, 5:18 pm

Check Rubinstein's web page (http://www.in-the-money.com)...He is pretty good about dispersing his papers. In fact, I remember seeing it.Hmmm, it looks like it is dead, try the following:http://web.archive.org/web/200706221503 ... thor.htmIf it is not there, then just send him an email. That usually works...Cheers,Ram
 
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mj
Posts: 3449
Joined: December 20th, 2001, 12:32 pm

Rubinstein's 3D binomial tree

January 14th, 2009, 6:22 am

I don't know the paper. But why do you want a 3d tree for 2 assets?!I have some basic discussion in "concepts" on how to do a tree for 2 assets. There's not much to it. Match the first 2 moments with 3 nodes.
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