Derman and Kani Implied Binomial Tree

troywilson · March 29th, 2003, 12:19 am

Does anyone know any references (websites or books) that have some calculated examples of a Derman and Kani binomial tree(or some pseudo code). I am trying to code one up and want something to cross check my implementation against. Cheers,Troy

reza · March 29th, 2003, 2:02 am

the original GS paper available on Emanuel Derman's website has a numeric example but I've heard it has a mistakeJackwerth has a numeric example on Barle & Cakici, a variant of Derman KaniEspen Haug's book has code and example for the trinomial Derman Kani

troywilson · March 29th, 2003, 2:24 am

Reza,Thanks, could you tell me the address of emanuel dermans website. I did find links to the old goldmans website but they no longer exist and the new goldmans website doesn't seem to have the paper.Cheers,Troy

reza · March 29th, 2003, 2:26 am

www.ederman.com

troywilson · March 29th, 2003, 2:34 am

Reza,You wouldn't happen to know anywhere that details the errors in the paper would you? Are the erros in the formulas or in the example numbers?Cheers,Troy

rumi · March 29th, 2003, 11:20 pm

Take a look at Espen Haug's recipes for option pricing formulas.

tonyc · March 30th, 2003, 1:00 am

I much prefer Jackwerth's "generalized binomial trees"Generalized Binomial Trees

reza · March 30th, 2003, 3:38 am

the error is supposedly in the example numbersI've heard it from different people so I assume it's trueI never double-checked

troywilson · March 30th, 2003, 9:11 am

Thanks alot everyone