The measure transformation of the binomial model and its application

MaRDI QIDQ3110780zbMATH OpenFDO

Authors Yuanlan He, Xiangdong Liu

Publication date 27 January 2012

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)

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Cited in

(3)

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

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