Leisen-Reimer Tree Setup
The Leisen-Reimer (LR) model uses a recombining tree structure, which means that the tree can be simplified, allowing multiple paths to lead to the same node. Setup a LR equity options tree model using the following functions:
Functions
lrtimespec | Specify time structure for Leisen-Reimer binomial tree |
lrtree | Build Leisen-Reimer stock tree |
stockspec | Create stock structure |
Topics
- Understanding Equity Trees
Financial Instruments Toolbox™ supports five types of recombining tree models to represent the evolution of stock prices.
- Pricing Equity Derivatives Using Trees
Pricing functions calculate the price of any set of supported instruments based on a binary equity price tree, an implied trinomial price tree, or a standard trinomial tree.
- Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond
This example demonstrates how to use
treeviewerto examine tree information for a Hull-White tree when you price a European callable bond.
