Serving the Quantitative Finance Community
Binomial Model Implementation Challenges
For your basic CRR tree with discrete dividends, I have 2 issues:1) Number of Steps > Number of Days to expiration => StepTime = Fraction of DaysFrom my Rate Curve, what rate do I use when both sides of the step fall on the same day?2) Number of Steps < Number of Days to expiration => StepTime > 1 DayOn days when dividends occur, how do I handle this?Regards,L