# Trinomial Model Update - Variable Risk Free, Volatility, Dividend Yield

IN PROGRESS
Bids
11
Avg Bid (USD)
\$477
Project Budget (USD)
\$250 - \$750

Project Description:
I have an employee stock options trinomial model that was coded in VBA in Excel that is currently working properly, however, there is a need to have varying risk-free, dividend yield, and volatility over time. Essentially, the problem I'm having is I cannot figure out the underlying mathematics of doing so, such that the trinomial tree is a recombining tree. I need help in this regard if anyone has the expertise to assist me. I may have the approach on this one wrong as well, and quite possibly another solution is the way to go to allow for varying rates, but I could use someone with the expertise to assist. I will provide the options file later, but need to know that you understand the solution to the problem before we begin.

05/07/2013 at 15:07 CEST
I would like to clarify the issue I am having is not a VBA coding problem, it's a mathematical/conceptual problem. You do not need my file to understand the issue. I will discuss further with you but please provide some information around how you would address the problem or how you think it should be done and I will be willing to discuss with you more in depth.

Let's take a 3 year trinomial model, right now my model assumes volatility, risk free, and dividend yield are all constant for all three years. However, I would like these to change in year 2 and conceptually once you change these the tree is no longer a recombining tree under the standard model and I would like help on figuring out how to solve this issue.

Thanks.

Skills required:
Finance, Mathematics, Statistics, Visual Basic
Project ID: 4497743
Report Project
Public Clarification Board
Bids are hidden by the project creator. Log in as the employer to view bids or to bid on this project.
You will not be able to bid on this project if you are not qualified in one of the job categories. To see your qualifications click here.

\$ 644
in 5 days
\$ 670
in 10 days
\$ 555
in 3 days
\$ 300
in 5 days
\$ 277
in 10 days
\$ 277
in 3 days
\$ 333
in 10 days
\$ 333
in 10 days
\$ 777
in 5 days
\$ 555
in 5 days