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322
Learning Options and Binomial Trees
, 2010
"... This paper modifies the standard binomial option pricing approach to real options analysis so that it can incorporate learning options. These options allow a manager to gather information about a potential investment payoff prior to investment occurring. The project’s overall volatility will vary in ..."
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This paper modifies the standard binomial option pricing approach to real options analysis so that it can incorporate learning options. These options allow a manager to gather information about a potential investment payoff prior to investment occurring. The project’s overall volatility will vary
Parity vertex colorings of binomial trees
, 2011
"... We show for every k ≥ 1 that the binomial tree of order 3k has a vertex-coloring with 2k+1 colors such that every path contains some color odd number of times. This disproves a conjecture from [1] asserting that for every tree T the minimal number of colors in a such coloring of T is at least the ve ..."
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We show for every k ≥ 1 that the binomial tree of order 3k has a vertex-coloring with 2k+1 colors such that every path contains some color odd number of times. This disproves a conjecture from [1] asserting that for every tree T the minimal number of colors in a such coloring of T is at least
Randomized Binomial Tree and Pricing of American-Style Options
"... Randomized binomial tree and methods for pricing American options were studied. Firstly, both the completeness and the noarbitrage conditions in the randomized binomial tree market were proved. Secondly, the description of the node was given, and the cubic polynomial relationship between the number ..."
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Randomized binomial tree and methods for pricing American options were studied. Firstly, both the completeness and the noarbitrage conditions in the randomized binomial tree market were proved. Secondly, the description of the node was given, and the cubic polynomial relationship between
On the Hierarchical Product of Graphs and the Generalized Binomial Tree
, 2007
"... In this paper we follow the study of the hierarchical product of graphs, an opera-tion recently introduced in the context of networks. A well-known example of such a product is the binomial tree which is the (hierarchical) power of the complete graph on two vertices. An appealing property of this st ..."
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In this paper we follow the study of the hierarchical product of graphs, an opera-tion recently introduced in the context of networks. A well-known example of such a product is the binomial tree which is the (hierarchical) power of the complete graph on two vertices. An appealing property
Implied Binomial Trees: A Literature Review
- Journal of Derivatives
, 1999
"... In this partial and selective literature review of option implied risk-neutral distributions and of implied binomial trees, we start by observing that in efficient markets, there is information contained in option prices, which might help us to design option pricing models. To this end, we review th ..."
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Cited by 6 (0 self)
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In this partial and selective literature review of option implied risk-neutral distributions and of implied binomial trees, we start by observing that in efficient markets, there is information contained in option prices, which might help us to design option pricing models. To this end, we review
Looking Forward to Pricing Options from Binomial Trees
, 2008
"... We reconsider the valuation of barrier options by means of binomial trees from a “forward looking ” prospective rather than the more conventional “backward induction ” one used by standard approaches. This reformulation allows us to write closed-form expressions for the value of European and America ..."
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We reconsider the valuation of barrier options by means of binomial trees from a “forward looking ” prospective rather than the more conventional “backward induction ” one used by standard approaches. This reformulation allows us to write closed-form expressions for the value of European
Analysis of the Zigzag Convergence for Barrier Options with Binomial Trees
, 2001
"... In this paper, we analyze the rate of convergence of a standard binomial tree method to price European style single and double barrier options in a Black-Scholes setup, when the renement of the tree n goes to +∞. We give a mathematical proof of the zigzag convergence observed numerically, by computi ..."
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Cited by 4 (1 self)
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In this paper, we analyze the rate of convergence of a standard binomial tree method to price European style single and double barrier options in a Black-Scholes setup, when the renement of the tree n goes to +∞. We give a mathematical proof of the zigzag convergence observed numerically
Correlated Default Modeling with a Forest of Binomial Trees
- Journal of Fixed Income
, 2007
"... This paper exploits the endogenous default function framework of Das and Sundaram (2007) to develop an approach for modeling correlated default on binomial trees usually used for pricing equity options. We show how joint default contracts may be valued on these trees. The model accommodates differen ..."
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Cited by 3 (1 self)
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This paper exploits the endogenous default function framework of Das and Sundaram (2007) to develop an approach for modeling correlated default on binomial trees usually used for pricing equity options. We show how joint default contracts may be valued on these trees. The model accommodates
Results 1 - 10
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322
