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Latest revision as of 17:57, 6 June 2024

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Some possible stock price distributions under incompleteness of the market
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    Some possible stock price distributions under incompleteness of the market (English)
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    6 August 2004
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    This paper analyses a trinomial version of the classical binomial model of Cox-Ross-Rubinstein. It considers a general structure for the transitions and studies the possible limits when the time steps tend to zero. It gives conditions for those transitions that result in a (log)-normal, (log)-Poisson or mixed distribution for the stock.
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    financial mathematics
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    binomial model
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    pricing
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    hedging
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