Random binomial tree models and options

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...

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Main Authors: Ganikhodjaev, Nasir, Bayram, Kamola
Format: Article
Language:English
Published: Asian Network for Scientific Information 2012
Subjects:
QA Mathematics
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
id iium-25877
recordtype eprints
spelling iium-258772012-10-19T07:05:16Z http://irep.iium.edu.my/25877/ Random binomial tree models and options Ganikhodjaev, Nasir Bayram, Kamola QA Mathematics 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 environment of the binomial tree model. A pair (Un, Dn), where {Un} and {Dn} be the sequences of independent, identically distributed random variables with Un>1 and 0<Dn<1<Un for all n, is called a random environment and binomial tree model with random environment is called random binomial tree model. In this paper, we define and study European call option for such models. Asian Network for Scientific Information 2012-09 Article PeerReviewed application/pdf en http://irep.iium.edu.my/25877/1/Journal_of_Applied_Sciences_Random_Binomial_Tree_Models_and_Options.pdf Ganikhodjaev, Nasir and Bayram, Kamola (2012) Random binomial tree models and options. Journal of Applied Sciences, 12 (18). pp. 1978-1981. ISSN 1812-5662 (O), 1812-5654 (P) http://scialert.net/qredirect.php?doi=jas.2012.1978.1981&linkid=pdf
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic QA Mathematics
spellingShingle QA Mathematics
Ganikhodjaev, Nasir
Bayram, Kamola
Random binomial tree models and options
description 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 environment of the binomial tree model. A pair (Un, Dn), where {Un} and {Dn} be the sequences of independent, identically distributed random variables with Un>1 and 0<Dn<1<Un for all n, is called a random environment and binomial tree model with random environment is called random binomial tree model. In this paper, we define and study European call option for such models.
format Article
author Ganikhodjaev, Nasir
Bayram, Kamola
author_facet Ganikhodjaev, Nasir
Bayram, Kamola
author_sort Ganikhodjaev, Nasir
title Random binomial tree models and options
title_short Random binomial tree models and options
title_full Random binomial tree models and options
title_fullStr Random binomial tree models and options
title_full_unstemmed Random binomial tree models and options
title_sort random binomial tree models and options
publisher Asian Network for Scientific Information
publishDate 2012
url 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
first_indexed 2023-09-18T20:38:34Z
last_indexed 2023-09-18T20:38:34Z
_version_ 1777409211505836032

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