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PointerLover
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Joined: March 1st, 2006, 4:14 pm

Paper on Binomial Trees

October 22nd, 2006, 3:43 pm

Hi,I was looking for the article "Constructing Binomial Trees from Multiple Implied Probability Distributions" by Brown in the Journal of Derivatives 1999 but googeling wasn't successful..Or do you know any other papers that treat the construction of binomial trees based not only on ending node probability distributions (like Rubinsteins "Implied Binomial Trees") but also on different probability distributions inbetween? Let's say you have the distributions for the maturities 1y, 2y, 3y and want to construct a binomial tree that fits all three distributions?Thanks for your help!
 
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ppauper
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Joined: November 15th, 2001, 1:29 pm

Paper on Binomial Trees

October 23rd, 2006, 1:57 pm

>> Paper on Binomial Treeshow many binomial trees had to be cut down to make that paper ?