Binomial models in finance.
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Publication:818042
zbMath1107.91056MaRDI QIDQ818042
John van der Hoek, Robert J. Elliott
Publication date: 23 March 2006
Published in: Springer Finance (Search for Journal in Brave)
Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
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Option pricing: a yet simpler approach ⋮ A new elementary geometric approach to option pricing bounds in discrete time models ⋮ Calibration to American options: numerical investigation of the de-Americanization method ⋮ The distribution of a sum of independent binomial random variables ⋮ Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties ⋮ Pricing and risk of swing contracts in natural gas markets ⋮ Malliavin calculus in a binomial framework ⋮ D-brane solutions under market panic ⋮ REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
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