Hi All,
This is the first time that I posted into this community.
I'm not sure that this one should be here or in the education part.
I'm not sure how to do the pricing on the spread option on two stocks by using the Trinomial Tree.
I did researching into the internet, and found only by using Binomial Tree.
There might be a little bit or much differences in calculating probability of going up, down , and/or stay.
Also, its up and down rate as well as the stock is correlated, so rho might be used.
Not sure whether you guys have any idea or suggested paper/websites?
Thank you very much in advance.
This is the first time that I posted into this community.
I'm not sure that this one should be here or in the education part.
I'm not sure how to do the pricing on the spread option on two stocks by using the Trinomial Tree.
I did researching into the internet, and found only by using Binomial Tree.
There might be a little bit or much differences in calculating probability of going up, down , and/or stay.
Also, its up and down rate as well as the stock is correlated, so rho might be used.
Not sure whether you guys have any idea or suggested paper/websites?
Thank you very much in advance.