Random binomial tree models and put options
In this paper we introduce and study 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 (...
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| Online Access: | http://irep.iium.edu.my/26982/ http://irep.iium.edu.my/26982/ http://irep.iium.edu.my/26982/1/2010C.pdf http://irep.iium.edu.my/26982/4/Programme_Book_latest_2.pdf |
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iium-269822013-02-13T20:43:47Z http://irep.iium.edu.my/26982/ Random binomial tree models and put options Ganikhodjaev, Nasir Bayram, Kamola QA Mathematics In this paper we introduce and study 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} are the sequences of independent, identically distributed random variables with 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 put option for such models. IIUM 2012-07 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/26982/1/2010C.pdf application/pdf en http://irep.iium.edu.my/26982/4/Programme_Book_latest_2.pdf Ganikhodjaev, Nasir and Bayram, Kamola (2012) Random binomial tree models and put options. In: 2nd International Conference on Mathematical Applications in Engineering (ICMAE2012), 3-5 July 2012, Kuala Lumpur, Malaysia. http://www.iium.edu.my/icmae/12/ |
| repository_type |
Digital Repository |
| institution_category |
Local University |
| institution |
International Islamic University Malaysia |
| building |
IIUM Repository |
| collection |
Online Access |
| language |
English English |
| topic |
QA Mathematics |
| spellingShingle |
QA Mathematics Ganikhodjaev, Nasir Bayram, Kamola Random binomial tree models and put options |
| description |
In this paper we introduce and study 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} are the sequences of
independent, identically distributed random variables with 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 put option for such models. |
| format |
Conference or Workshop Item |
| author |
Ganikhodjaev, Nasir Bayram, Kamola |
| author_facet |
Ganikhodjaev, Nasir Bayram, Kamola |
| author_sort |
Ganikhodjaev, Nasir |
| title |
Random binomial tree models and put options |
| title_short |
Random binomial tree models and put options |
| title_full |
Random binomial tree models and put options |
| title_fullStr |
Random binomial tree models and put options |
| title_full_unstemmed |
Random binomial tree models and put options |
| title_sort |
random binomial tree models and put options |
| publisher |
IIUM |
| publishDate |
2012 |
| url |
http://irep.iium.edu.my/26982/ http://irep.iium.edu.my/26982/ http://irep.iium.edu.my/26982/1/2010C.pdf http://irep.iium.edu.my/26982/4/Programme_Book_latest_2.pdf |
| first_indexed |
2023-09-18T20:40:07Z |
| last_indexed |
2023-09-18T20:40:07Z |
| _version_ |
1777409308574613504 |