Starting Points for Hull–White Trinomial Tree Implementation

Summary

The discussion concerns finding a starting point for implementing trinomial trees and comparing them with Monte Carlo simulation. A researcher describes using a Hull–White trinomial tree in a project modeling a guaranteed minimum death benefit rider, with transition probabilities modified using Eric Ulm’s HJB equation. They point to an existing Boyle trinomial tree implementation as a possible base for the work.

The post gives no derivation, implementation walkthrough, validation results, or explanation of how to adapt the suggested tree to Hull–White dynamics or the modified probabilities. It is therefore useful mainly as a lead to further study, rather than as a self-contained method. Anyone using the suggested starting point would need to check that its model assumptions, probability construction, and treatment of the target contract match their own requirements, then validate results independently against another pricing approach.

Key ideas

• A Boyle trinomial tree implementation is suggested as a possible starting point for further development.
• The described research applies a Hull–White tree to a guaranteed minimum death benefit rider.
• The researcher plans to modify transition probabilities using an HJB equation.
• The discussion does not provide enough detail to reproduce or validate the proposed approach.

Tags

# Trinomial Trees for Hull-White model


# Trinomial Trees for Hull-White model












I am studying trinomial trees and trying to implement them in Python to compare them to the monte carlo simulation. I searched 3-4 hours in the web; but can't find any implementation on binomial or trinomial trees online.

Very simple question by a beginner: is there any place to get more information on the implementation? Or atleast how to start?

## Answer by Gabriel Wong (score 1)

https://quant.stackexchange.com/a/59575

I am also utilizing trinomial tress for a research project, implementing a GMDB rider, using a trinomial tree Hull-White model, however, with a slight modification in probabilities by using Eric Ulm's HJB equation.

Anyways, I am going to start using this James Ma's boyle trinomial as the base code.

https://github.com/jamesmawm/Mastering-Python-for-Finance-source-codes/blob/master/B03898_10_codes/TrinomialTreeOption.py

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.