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...
- 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