Binomial tree for option valuation process derived from stochastic autonomous differential equation

This paper proposes a recombination in binomial trees multiplicatively generalized for the autonomous equation, in terms of the initial condition and the product between non-constant jumps up and down the discretized process. A technique is formally presented to find dynamic transition probabilities...

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Autores:
Marín Sánchez, Freddy Hernán
Tipo de recurso:
Fecha de publicación:
2010
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/14485
Acceso en línea:
http://hdl.handle.net/10784/14485
Palabra clave:
Stochastic Differential Equations
Binomial Trees
Transition Probabilities
Options Valuation
Ecuaciones Diferenciales Estocásticas
Árboles Binomiales
Probabilidades de transición
Valoración de Opciones
Rights
License
Copyright (c) 2010 Freddy Marín-Sánchez