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

MaRDI QIDQ3595572zbMATH OpenFDO

Authors J. Ruiz de Chávez S.

Publication date 28 August 2007

zbMATH Keywords

optionbinomial processpredictable representationmartingales with discrete parameter

Mathematics Subject Classification ID

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

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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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