Recombining Binomial Tree Approximations for Diffusions
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Publication:3631193
DOI10.1016/S1570-8659(08)00010-0zbMath1171.60362OpenAlexW1557332322MaRDI QIDQ3631193
Publication date: 5 June 2009
Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00010-0
financial derivativesapproximate a diffusionrecombining binomial tree modelrisk neutral termsweak solution of a stochastic differential equation
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