Random binomial tree models and put options
In this paper we introduce and study the simplest random binomial tree model. Usual binomial tree model is prescribed by pair of numbers (u, d), where u denotes the increase rate of the stock over the fixed period of time and d denotes the decrease rate, with 0< d < 1< u. We call the pair (...
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| Format: | Proceeding Paper |
| Language: | English English |
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IIUM
2012
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| Online Access: | http://irep.iium.edu.my/26982/ http://irep.iium.edu.my/26982/1/2010C.pdf http://irep.iium.edu.my/26982/4/Programme_Book_latest_2.pdf |
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| author | Ganikhodjaev, Nasir Bayram, Kamola |
| author_facet | Ganikhodjaev, Nasir Bayram, Kamola |
| author_sort | Ganikhodjaev, Nasir |
| building | IIUM Repository |
| collection | Online Access |
| description | In this paper we introduce and study the simplest random binomial tree model. Usual binomial tree model is prescribed by pair of numbers (u, d), where u denotes the increase rate of the stock over the fixed period of time and d denotes the decrease rate, with 0< d < 1< u. We call the pair (u, d) an environment of the binomial tree model. A pair (Un, Dn), where {Un} and {Dn} are the sequences of
independent, identically distributed random variables with 0< Dn < 1< Un for all n, is called a random environment and binomial tree model with random environment is called random binomial tree model. In this paper we define and study European put option for such models. |
| first_indexed | 2025-11-14T15:22:33Z |
| format | Proceeding Paper |
| id | iium-26982 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T15:22:33Z |
| publishDate | 2012 |
| publisher | IIUM |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-269822013-02-13T20:43:47Z http://irep.iium.edu.my/26982/ Random binomial tree models and put options Ganikhodjaev, Nasir Bayram, Kamola QA Mathematics In this paper we introduce and study the simplest random binomial tree model. Usual binomial tree model is prescribed by pair of numbers (u, d), where u denotes the increase rate of the stock over the fixed period of time and d denotes the decrease rate, with 0< d < 1< u. We call the pair (u, d) an environment of the binomial tree model. A pair (Un, Dn), where {Un} and {Dn} are the sequences of independent, identically distributed random variables with 0< Dn < 1< Un for all n, is called a random environment and binomial tree model with random environment is called random binomial tree model. In this paper we define and study European put option for such models. IIUM 2012-07 Proceeding Paper PeerReviewed application/pdf en http://irep.iium.edu.my/26982/1/2010C.pdf application/pdf en http://irep.iium.edu.my/26982/4/Programme_Book_latest_2.pdf Ganikhodjaev, Nasir and Bayram, Kamola (2012) Random binomial tree models and put options. In: 2nd International Conference on Mathematical Applications in Engineering (ICMAE2012), 3-5 July 2012, Kuala Lumpur, Malaysia. http://www.iium.edu.my/icmae/12/ |
| spellingShingle | QA Mathematics Ganikhodjaev, Nasir Bayram, Kamola Random binomial tree models and put options |
| title | Random binomial tree models and put options |
| title_full | Random binomial tree models and put options |
| title_fullStr | Random binomial tree models and put options |
| title_full_unstemmed | Random binomial tree models and put options |
| title_short | Random binomial tree models and put options |
| title_sort | random binomial tree models and put options |
| topic | QA Mathematics |
| url | http://irep.iium.edu.my/26982/ http://irep.iium.edu.my/26982/ http://irep.iium.edu.my/26982/1/2010C.pdf http://irep.iium.edu.my/26982/4/Programme_Book_latest_2.pdf |