Lattice Methods for Option Pricing

Lattice Methods/Recombining Tree Methods for Option Pricing

The package implements the following binomial and trinomial tree methods for pricing an European call and put option:
- The Cox-Ross-Rubinstein (CRR) model
- The Haahtela's binomial tree model
- The Nelson-Ramaswamy (NR) binomial model
- The Tian's binomial model
- The Boyle trinomial model
- The Kamrad-Ritchken (KR) trinomial model
- The Tian's trinomial model
To compare the lattice models' convergence performance, the package also includes the Black-Scholes-Merton (BSM) model and the sequential Monte Carlo simulation model for option pricing. The package is under development, will include stochastic volatility (SV) models and jump-diffusion models in the next version.