The measure transformation of the binomial model and its application

zbMATH Open1240.91166MaRDI QIDQ3110780FDOQ3110780

Authors: Yuanlan He, Xiangdong Liu 

Publication date: 27 January 2012

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zbMATH Keywords

derivatives pricingbinomial tree modelmeasure transformation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Random measures (60G57)

Cited In (3)

• Construction of risk-neutral measure in a Brownian motion with exotic option
• Decomposition and invariance of measures, and statistical transformation models
• Forests, cumulants, martingales

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