Diffusion processes with willow trees
In this paper we explore the implementation of a short rate model on a "Willow" tree. We establish both a significant performance gain for the Willow tree in terms of stability and the relativity of faster processing times.
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| Formato: | Tesis de maestría acceptedVersion |
| Lenguaje: | Inglés |
| Publicado: |
Universidad Torcuato Di Tella
2017
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| Acceso en línea: | http://repositorio.utdt.edu/handle/utdt/1172 |
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| Sumario: | In this paper we explore the implementation of a short rate model on a "Willow" tree. We establish both a significant performance gain for the Willow tree in terms of stability and the relativity of faster processing times. |
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