Random dynamics and finance: constructing implied binomial trees from a predetermined stationary density

DOI10.1002/ASMB.663MaRDI QIDQ5430349zbMATH OpenOpenAlexFDO

Authors Wael Bahsoun, Paweł Góra, Silvia Mayoral, Manuel Morales

Publication date 16 December 2007

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10171/7088

zbMATH Keywords

binomial modelimplied binomial treesPerron-Frobenius operatorrandom map

Mathematics Subject Classification ID

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Cites work

• Generalized hyperbolic diffusion processes with applications in finance
• scientific article; zbMATH DE number 1188957 (Why is no real title available?)
• Mathematics of financial markets

Cited in

(8)

• Binomial trees as dynamical systems
• Piecewise convex deterministic dynamical systems and weakly convex random dynamical systems and their invariant measures
• Dual skew products, genericity of the exactness property and finance
• Numerics of Implied Binomial Trees
• A piecewise linear maximum entropy method for invariant measures of random maps with position-dependent probabilities
• scientific article; zbMATH DE number 7471125 (Why is no real title available?)
• The geometric Markov renewal processes with application to finance
• A general piecewise spline maximum entropy method for position dependent random maps

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