Assignment - Computational Finance
Trinomial tree in C#.
- Create a C# application that prices European and American call and put options using a trinomial tree.
- Your program must also generate Greek values for calls and puts.
- Your program must use an array for at least part of the calculation process.
Tips - The array types we have discussed are rectangular
To implement a non-rectangular trinomial tree in a rectangular array is naturally wasteful - If a rectangular array contains only a single trinomial tree, some of the nodes will necessarily go to waste thus Consider alternative algorithms to optimize memory usage
More Detail---
- For your next assignment, you will use arrays to implement a trinomial tree in C#
- create a C# application that prices European and American call and put options using a trinomial tree
- Your program must also generate Greek values for calls and puts
- Your program must use an array for at least part of the calculation process Arrays are structures common in computer science that you need to know Trinomial tree in C#
- The array types we have discussed are rectangular (read Chapter 9 for a discussion of jagged arrays)
- To implement a non-rectangular trinomial tree in a rectangular array is naturally wasteful - If a rectangular array contains only a single trinomial tree, some of the nodes will necessarily go to waste
- Consider alternative algorithms to optimize memory usage - Is all the data in one or both trinomial trees necessary? Recall that in the case of binomial tree, some data could be discarded. - Could both the asset and the discount tree be contained in a single rectangular array?