New method revolutionizes pricing of VIX options for financial markets!
The article introduces a new method to price complex financial options more efficiently. The method, called the willow tree method, is designed to replace a time-consuming simulation technique. By using this new method, the researchers were able to accurately price exotic options and VIX options under a popular financial model. The experiments showed that the willow tree method is both accurate and faster than the traditional simulation method, making it a valuable tool for pricing derivatives in the financial market.