%0 Journal Article
%T A New Recombination Tree Algorithm for Mean-Reverting Interest-Rate Dynamics
%A Peter C. L. Lin
%J American Journal of Computational Mathematics
%P 291-296
%@ 2161-1211
%D 2013
%I Scientific Research Publishing
%R 10.4236/ajcm.2013.34038
%X <p style=\"text-align:justify;\" class=\"MsoNormal\">
	<span lang=\"EN-US\">In light of the fact that no existing tree algorithms can guarantee the recombination property for general Ornstein</span><span lang=\"EN-US\">-</span><span lang=\"EN-US\">Uhlenbeck processes with time-dependent parameters, a new trinomial recombination-tree algorithm is designed in this research. The proposed algorithm enhances the existing mechanisms in interest-rate modelings with the comparisons to [</span><span lang=\"EN-US\">1,2</span><span lang=\"EN-US\">] methodologies, and the proposed framework provides a more efficient way in discrete-time mean-reverting simulations.</span><span lang=\"EN-US\"><?xml:namespace prefix = o /><o:p></o:p></span> 
</p>
%K Natural Asset
%K Financial Value
%K Neural Network
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=39768