Security price modelling by a binomial tree

DOI10.4064/AM-26-3-253-266MaRDI QIDQ4522966zbMATH OpenOpenAlexFDO

Authors Remigijus Leipus, Alfredas Račkauskas

Publication date 7 January 2001

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/219237

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(7)

• A note on the terminal date security prices in a continuous time trading model with dividends
• Products of trees for investment analysis
• Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex
• Binomial trees as dynamical systems
• A squared binomial tree approach to discrete-time bond market modelling
• On price of derivative in trinomial asset-pricing model
• Pricing multi-asset contingent claims in a multi-dimensional binomial market

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