Nonparametric predictive inference for European option pricing based on the binomial tree model
نویسندگان
چکیده
منابع مشابه
The Binomial Option Pricing Model
The simplest model for pricing d erivative securities is the binomial model. It generalizes the o n e period \up-down" model of Chapte r 1 t o a m ulti-period setting, assuming t hat t he price of the u nderlying asset follows a random walk. In the binomial model, there are N trading periods and N+1 trading d ates, t 0 t 1 ::: t N when it is possible to i n vest in a risky security with p r i c...
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ژورنال
عنوان ژورنال: Journal of the Operational Research Society
سال: 2019
ISSN: 0160-5682,1476-9360
DOI: 10.1080/01605682.2018.1495997