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

In Progress

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.

Skills: Finance, Mathematics, Statistics, Visual Basic

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Project ID: #4497743

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HamadaQuant

Hi there, As head of quantitative analysis, i came across the same problem as yours and solved it as follows: Assuming you have a spot volatility curve v(t) dependent only on time from 0 to T(option expiry), using the More

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10 freelancers are bidding on average $497 for this job

WebDesignall

Hi We are a very serious team, math graduated an master degree in Financial Math, we have the expertise to help you, please check our profile and reviews, thanks in advances best regards

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samitXI

Please check your inbox. Thanks

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bchandra1955

Professional from academic institute working in this area can take care

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ouyongbin

I have a phd degree in mathematics and an MS degree in computer science. I am also an option trader, and I understand the concepts well.

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Solver86

Dear, do you have a formal specification of your problem? Thanks

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akhilturai

Hello Sir,lets discuss about the project!

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gitapodder1989

I am ready to start the project.

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rouxelite

Hello, My bid includes the completion of task including any further consultation regarding my work. I have also sent you a private message regarding my offer.

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sammir87

Hi, I am an Indian Chartered Accountant (Equivalent to US CPA). Please send me the file along with your specific problem. I can solve your problem. Regards, Samir Ajmerwala

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D3v3loper

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hsndehghan

Hi, I can help you.

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