Stochastic calculus for finance. I: The binomial asset pricing model.

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

Mathematics Subject Classification ID

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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