Trinomial Tree based option price valuations: Sequential and Parallel

Trinomial Tree-based option price valuations The binomial-tree algorithm has been extended to trinomial trees with the end result that option price valuations can be performed efficiently (the resulting algorithm is one-optimal BSP-speak) on trinomial trees as well. A research paper describing the algorithm is under preparation and software code developed for parallel trinomial tree-based option price valuations is also available below.

  1. tars/tt02a.tar (July 9, 2002) Newest Version of Parallel program to evaluate option prices in parallel on a trinomial tree. Untar file, read copyright notice in file copy. Sequential code is available in directory Seq. Read also file gttmain.rdm.
  2. tars/tt02.tar (June 25, 2002). Read instructions in *.rdm files. Obsolete version. Superseded by tt02a.tar.

Last Update: July 9, 2002