| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5058227 | Economics Letters | 2016 | 5 Pages |
Abstract
â¢We provides a multi-purpose binomial tree model.â¢Our model generalizes the Cox-Ross-Rubinstein, Jarrow-Rudd, and Tian models.â¢Our model can fit all moments of the approximate geometric Brownian motion.â¢Our binomial model is used to resolve the discontinuity problem in option pricing.
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian binomial tree models. The new binomial model is used to resolve a discontinuity problem in option pricing.
Related Topics
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Authors
Y.S. Kim, S. Stoyanov, S. Rachev, F. Fabozzi,