The random-time binomial model
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Recommendations
- scientific article; zbMATH DE number 796442
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Cites work
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- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Binomial models for option valuation - examining and improving convergence
- Fast accurate binomial pricing
- Functional convergence of Snell envelopes: Applications to American options approximations
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- On optimal stopping and free boundary problems
- Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
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- Sur l'approximation des réduites. (On the approximation of residues)
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- Using Randomization to Break the Curse of Dimensionality
Cited in
(7)- scientific article; zbMATH DE number 796442 (Why is no real title available?)
- Take-or-pay contract valuation under price and private uncertainty
- Randomization and the American put
- scientific article; zbMATH DE number 1724301 (Why is no real title available?)
- Pricing catastrophe options in discrete operational time
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