QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: frolloosUsing Trigeorgis binomial tree with 10,000 time steps in Matlab I get 6.299518. Seems to be off compared to Cuch's results (I'd trust Cuch's results more!
)Actually, I get similar results for CRR, JR and Chang-Palmer when NT = 10000 (BTW what do you get for Trigeorgis when NT = 13000?)(NT = 13000)A. 6.2995361 Random walkB. 6.2995339 CRRC. 6.2995361 JRD. 6.2995660 TianE. 6.2995339 Chang PalmerI create a 2d lattice in memory so NT = 13000 is my max for 32-bit version.For 13,000 I get 6.299536, which is practically the same as your A and C above.