Predictable representation of the binomial process and application to options in finance

zbMATH Open1139.91018MaRDI QIDQ3595572FDOQ3595572

Authors: J. Ruiz de Chávez S. 

Publication date: 28 August 2007

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zbMATH Keywords

optionbinomial processpredictable representationmartingales with discrete parameter

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with discrete parameter (60G42)

Cited In (3)

• Binomial financial market in the context of the algebra of stochastic exponents and martingales
• On the uniqueness of martingales with certain prescribed marginals
• The measure transformation of the binomial model and its application

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