{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/8567"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/8567","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Optimal tree methods","abstract":"Although traditional tree methods are the simplest numerical methods for option pricing, much work remains to be done regarding their optimal parameterization and construction. This work examines the parameterization of traditional tree methods as well as the techniques commonly used to accelerate their convergence. The performance of selected, accelerated binomial and trinomial trees is then compared to an advanced tree method, Figlewski and Gao's Adaptive Mesh Model, when pricing an American put and a Down-And-Out barrier option.","abstract_html":"Although traditional tree methods are the simplest numerical methods for option pricing, much work remains to be done regarding their optimal parameterization and construction. This work examines the parameterization of traditional tree methods as well as the techniques commonly used to accelerate their convergence. The performance of selected, accelerated binomial and trinomial trees is then compared to an advanced tree method, Figlewski and Gao's Adaptive Mesh Model, when pricing an American put and a Down-And-Out barrier option.","abstract_has_math":false,"creators":["Rudd, Ralph"],"institution":"Department of Finance and Tax","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["McWalter, Thomas","Taylor, David"],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014","date_published":"2014","updated_at":"2026-07-22T22:22:44Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/8567","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["McWalter, Thomas","Taylor, David"]},{"key":"dc:creator","label":"Author","values":["Rudd, Ralph"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-10-17T10:12:59Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-10-17T10:12:59Z"]},{"key":"dc:date.issued","label":"Date","values":["2014"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Finance and Tax"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MPhil"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/8567"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["Although traditional tree methods are the simplest numerical methods for option pricing, much work remains to be done regarding their optimal parameterization and construction. This work examines the parameterization of traditional tree methods as well as the techniques commonly used to accelerate their convergence. The performance of selected, accelerated binomial and trinomial trees is then compared to an advanced tree method, Figlewski and Gao's Adaptive Mesh Model, when pricing an American put and a Down-And-Out barrier option."]},{"key":"dc:title","label":"Title","values":["Optimal tree methods"]}]}],"canonical_facts":{"dc:contributor.advisor":["McWalter, Thomas","Taylor, David"],"dc:creator":["Rudd, Ralph"],"dc:date.accessioned":["2014-10-17T10:12:59Z"],"dc:date.available":["2014-10-17T10:12:59Z"],"dc:date.issued":["2014"],"dc:description":["Includes bibliographical references."],"dc:description.abstract":["Although traditional tree methods are the simplest numerical methods for option pricing, much work remains to be done regarding their optimal parameterization and construction. This work examines the parameterization of traditional tree methods as well as the techniques commonly used to accelerate their convergence. The performance of selected, accelerated binomial and trinomial trees is then compared to an advanced tree method, Figlewski and Gao's Adaptive Mesh Model, when pricing an American put and a Down-And-Out barrier option."],"dc:identifier.uri":["http://hdl.handle.net/11427/8567"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Finance and Tax"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Optimal tree methods"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:22:44Z"}