The random-time binomial model

DOI10.1016/S0165-1889(98)00077-3MaRDI QIDQ1960552zbMATH OpenFDO

Authors Dietmar P. J. Leisen

Publication date 12 January 2000

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1889(98)00077-3

Mathematics Subject Classification ID

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Cites work

• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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• Pricing the American put option: A detailed convergence analysis for binomial models
• Randomization and the American put
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• The pricing of options and corporate liabilities
• The pricing of the American option
• Using Randomization to Break the Curse of Dimensionality

Cited in

(8)

• Error estimates for the binomial approximation of American put options
• Take-or-pay contract valuation under price and private uncertainty
• Pricing catastrophe options in discrete operational time
• Option valuation by using discrete singular convolution
• scientific article; zbMATH DE number 1724301 (Why is no real title available?)
• Exercisability Randomization of the American Option
• scientific article; zbMATH DE number 796442 (Why is no real title available?)
• Randomization and the American put

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