Looking for algo of optimized bi/trinomial trees
Posted: February 28th, 2007, 6:04 pm
Hi all, I am looking for algorithm (any language) of optimized version of lattice method for american option pricing. The ones I have in head are- The willow tree of Michael Curran or the modified willow tree of Haussmann and Yan- the Lean tree of Baule and WILKENS - Longstaff-Schwartz AlgorithmAny other algo would be welcome. Could any one help me on that? Thanks a lot, Serge