The Korn–Kreer–Lenssen model (KKL model) is a discrete trinomial model proposed in 1998 by Ralf Korn, Markus Kreer and Mark Lenssen to model illiquid securities and to value financial derivatives on these. It generalizes the binomial Cox-Ross-Rubinstein model in a natural way as the stock in a given time interval can either rise one unit up, fall one unit down or remain unchanged.
The Korn–Kreer–Lenssen model (KKL model) is a discrete trinomial model proposed in 1998 by Ralf Korn, Markus Kreer and Mark Lenssen to model illiquid securities and to value financial derivatives on these. It generalizes the binomial Cox-Ross-Rubinstein model in a natural way as the stock in a given time interval can either rise one unit up, fall one unit down or remain unchanged.
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