Lecture 2: Multiperiod Models and Trees
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چکیده
One-period models, which were the subject of Lecture 1, are of limited usefulness in the pricing and hedging of derivative securities. In real-world markets, trading takes place in continuous time; moreover, perfect hedging of many derivative securities requires continuous rebalancing of portfolios, as we shall see. Nevertheless, useful numerical approximations can often be gotten by using discrete multiperiod models with a large number of very short periods.
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تاریخ انتشار 2001