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volatility of the previous date so that they may be artifacts in the sense they are not generated as true volatilities After the tree is built, backward induction occurs For a given volatility ht+1 following state (yt, h2 ) via updating rule (837), the algorithm locates the two volatilit ties that bracket ht+1 However, ht may be interpolated volatility so that the option price corresponding to ht+1 is also interpolated linearly from the option prices corresponding to the bracketing volatilities After all option prices at all 2n + 1 nodes are determined, the option price at state (yt, ht2 ) is calculated as the (risk-neutral) discounted expected value based on the branching probabilities However, Wu (2003) shows that there are serious problems from a practical use viewpoint with both the RT and CT models.

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The MPL allows the use, modification, and redistribution of code. The MPL requires that modifications to source code also fall under the same license. The MPL requires that source code be documented and made available. The MPL allows sections of a program to be covered under multiple licenses.

As Wu points out, both models create exponentially sized trees that can explode if the number of partitions per day, n, exceeds a typically small number Thus, the trees are not ef cient unless n is small, but a small n can result in inaccurate option prices and short-dated options But, in fact, even the small choice of n = 1 can result in explosion One cannot trade off ef ciency for accuracy by using a suitably large n because when explosion occurs, the trees cannot grow beyond a certain maturity, making the trees useless for pricing derivatives with long maturities26 In the CT model, an interpolated volatility s successor volatility may branch to an unreachable node that has no option prices at all Consequently, backward induction cannot continue, which, while rare, can occur when n and N are both large.

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<MyPortfolio xmlns:xs= http://www.w3.org/2001/XMLSchema xmlns:enc= http://schemas.xmlsoap.org/soap/encoding enc:arrayType= xs:string[5] > <symbol>SUNW</symbol> <symbol>IBM</symbol> <symbol>HP</symbol> <symbol>RHAT</symbol> <symbol>ORCL</symbol> </MyPortfolio>

As Wu shows numerically, the RT model does not converge with increasing n There is a downward trend in calculated option prices so that option prices may fail to converge as n increases Wu develops a mean tracking (MT) option price tree that uses a log-linear interpolation scheme Such a scheme avoids the convergence problems of the RT model The rationale for the log-linear scheme, in which logarithmic volatilities are equally spaced as:.

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