[R-SIG-Finance] Creating Binomial tree

[Eric Zivot]

You might find the following paper useful

http://comisef.eu/files/wps008.pdf


-----Original Message-----
From: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Bogaso Christofer
Sent: Sunday, May 08, 2011 9:21 AM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] Creating Binomial tree

Dear all, I am trying to create a binomial tree over some big number of
nodes. Generally I work with this code "expand.grid(rep(list(c(0,1)), 4))"
however, R is getting memory allocation problem if the node number is quite
big (more than 25).

 

I need to build a complete grid because, I need to value some path-dependent
option. Has anybody come across this type of problem on build some big tree?
Then how you have solved that?

 

Thanks and regards,


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