• Tim Xiao deposited Martingale Preserving Tree Analytics in the group Group logo of Business ManagementBusiness Management on Humanities Commons 3 years, 5 months ago

    We propose a three-factor tree model that implements the Hull-White and Black-Karasinski models. The new tree model does preserve the martingale property of the stock for sufficiently long terms (with accuracy better that 10-8 for terms of at least 10 years).