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| Author: | Tang, Y. Lange, J. |
| Title: | A nonexploding bushy tree technique and its application to the multifactor interest rate market model |
| Journal: | Journal of Computational Finance
2001 : SUMMER, VOL. 4:4, p. 5-31 |
| Index terms: | INTEREST RATES MATHEMATICAL MODELS COMPUTER MODELS |
| Language: | eng |
| Abstract: | The conventional bushy tree, while capable of solving non-Markovian models in principle, suffers from a severe practical limitation: its computation time grows exponentially as the number of tree time steps increases. A novel multifactor nonexploding bushy tree technique which breaks the computation time barrier of the conventional bushy tree and allows over 100 tree steps is presented. |
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