Create application that prices european and american call

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Reference no: EM131743433

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

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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?

Reference no: EM131743433

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