Est. Budget: $1,000.00
I need to implement the algorithm in the paper by Hua He, "Convergence from Discrete- to Continuous-Time Contingent Claims Prices" (for N=3) ( http://qed.econ.queensu.ca/faculty/milne/873/ECON873%20(2008)%20Convergence%20from%20Discrete%20to%20Continuous.pdf )
This is a recombining multinomial tree. The idea is very similar to the standard binomial tree that is used in finance. The difference is that here we have 4 edges and they recombine in a specific way.