NUMERICAL EVALUATION OF FINANCIAL OPTIONS TRINOMIAL METHOD
Evaluation of options is one of the most important and actual tasks of the financial markets now. Crank-Nicolson method and Mellin integral transformations for estimation Asian and American a Call and Put options were considered in authors works [1-5]. The present article is devoted to numerical research of a problem of calculation of cost of options by a trinomial method. Trinomial is an analog of the binomial method, and is building a trinomial tree, called the direct path method. At the second stage there is the inverse path in the course of which option cost is calculated.