Binomial models in finance.

zbMATH Open1107.91056MaRDI QIDQ818042FDOQ818042

Authors: John van der Hoek, Robert J. Elliott 

Publication date: 23 March 2006

Published in: Springer Finance (Search for Journal in Brave)

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zbMATH Keywords

numerical examplesinterest rate modelsapproximate option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (10)

• Random dynamics and finance: constructing implied binomial trees from a predetermined stationary density
• Option pricing: a yet simpler approach
• Regime-switching recombining tree for option pricing
• Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
• Pricing and risk of swing contracts in natural gas markets
• A new elementary geometric approach to option pricing bounds in discrete time models
• The distribution of a sum of independent binomial random variables
• Calibration to American options: numerical investigation of the de-Americanization method
• Malliavin calculus in a binomial framework
• D-brane solutions under market panic

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