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Trinomial Model 1
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In this video, I outline the Trinomial Option Pricing model originally pioneered by Phelim Boyle. There are many parameterizations possible for the trinomial model - here we use the parameterization considered in the Haug text book: The Complete Guide to Option Pricing Formulas 2nd Edition, chapter 7. One approach to constructing trinomial trees is to develop two steps of a binomial in combination as a single step of a trinomial tree. This can be engineered with many binomials CRR(1979), JR(1979) and Tian (1993) where the volatility is constant. For example, a two-step presentation of the CRR(1979) is developed here in C++ with excel visualization.
In this video, I outline the Trinomial Option Pricing model originally pioneered by Phelim Boyle. There are many parameterizations possible for the trinomial model - here we use the parameterization considered in the Haug text book: The Complete Guide to Option Pricing Formulas 2nd Edition, chapter 7. One approach to constructing trinomial trees is to develop two steps of a binomial in combination as a single step of a trinomial tree. This can be engineered with many binomials CRR(1979), JR(1979) and Tian (1993) where the volatility is constant. For example, a two-step presentation of the CRR(1979) is developed here in C++ with excel visualization.
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