T. H. Cormen, C. E. Leiserson, R. L. Rivest and C. Stein, “Introduction to Algorithms,” 3rd Edition, The MIT Press, Cambridge, 2009.
has been cited by the following article:
TITLE: A New Recombination Tree Algorithm for Mean-Reverting Interest-Rate Dynamics
AUTHORS: Peter C. L. Lin
KEYWORDS: Natural Asset; Financial Value; Neural Network
JOURNAL NAME: American Journal of Computational Mathematics, Vol.3 No.4, November 20, 2013
ABSTRACT: In light of the fact that no existing tree algorithms can guarantee the recombination property for general Ornstein-Uhlenbeck processes with time-dependent parameters, a new trinomial recombination-tree algorithm is designed in this research. The proposed algorithm enhances the existing mechanisms in interest-rate modelings with the comparisons to [1,2] methodologies, and the proposed framework provides a more efficient way in discrete-time mean-reverting simulations.