Random binomial tree models and options
In this study, we introduce the simplest random binomial tree model. Usual binomial tree model is prescribed by pair of numbers (u, d), where u denotes the increase rate of the stock over the fixed period of time and d denotes the decrease rate, with 0<d<1<u. We call the pair (u, d) an envi...
Main Authors: | , |
---|---|
Format: | Article |
Language: | English |
Published: |
Asian Network for Scientific Information
2012
|
Subjects: | |
Online Access: | http://irep.iium.edu.my/25877/ http://irep.iium.edu.my/25877/ http://irep.iium.edu.my/25877/1/Journal_of_Applied_Sciences_Random_Binomial_Tree_Models_and_Options.pdf |