Excel VBA codes for "An Efficient Lattice Search Algorithm for the Early Exercise Boundary in American Options"
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资源简介：
This file provides Excel VBA codes of accelerated CRR binomial models:
1. “CRR_Conventional” model represents a two-dimensional static CRR binomial tree and does not apply any lattice search or acceleration techniques.
2. “CRR_Dynamic” model employs a one-dimensional dynamic tree.
3. “CRR_Dyn_Boundary” model augments the dynamic binomial tree using the intelligent lattice search algorithm.
4. “CRR_Dyn_Bound_Truncation” model is the most accelerated binomial model which comprehensively applies efficient lattice search, dynamic memory and truncation techniques.
创建时间：
2019-02-12
