Publication: Efficient Trinomial Trees for Short Rate Models
Efficient Trinomial Trees for Short Rate Models
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Leippold, M., & Wiener, Z. (2004). Efficient Trinomial Trees for Short Rate Models. Review of Derivatives Research, 7, 213–239.
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In this article we discuss the implementation of general one-factor short rate models with a trinomial tree. Taking the Hull-White model as a starting point, our contribution is threefold. First, we show how trees can be spanned using a set of general branching processes. Secondly, we improve Hull-White's procedure to calibrate the tree to bond prices by a much more efficient approach. This approach is applicable to a wide range of term structure models. Finally, we show how the tree can be adjusted to the volatility structure. The pr
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Leippold, M., & Wiener, Z. (2004). Efficient Trinomial Trees for Short Rate Models. Review of Derivatives Research, 7, 213–239.
