Stochastic calculus for finance. I: The binomial asset pricing model.
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Publication:1883334
zbMath1068.91040MaRDI QIDQ1883334
Publication date: 12 October 2004
Published in: Springer Finance (Search for Journal in Brave)
forward measure; computational finance; random interest rates; American and European derivative securities; binomial no-arbitrage pricing model; discrete-time binomial asset pricing; forward vs. futures prices
91G60: Numerical methods (including Monte Carlo methods)
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
91Gxx: Actuarial science and mathematical finance
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