We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model …

these convergences are of order $1/\sqrt{n}$. For this, we use the binomial model of Cheuk–Vorst which allows us to write …In this paper, we study the convergence of a European lookback option with floating strike evaluated with the binomial … model of Cox–Ross–Rubinstein to its evaluation with the Black–Scholes model. We do the same for its delta. We confirm that …

. The natural way to adjust risk differences for potential confounders is to use an additive binomial model, which is a … binomial generalised linear model with an identity link function. However, implementations of the additive binomial model in … additive binomial model but uses the multinomial–Poisson transformation to convert the problem into an equivalent additive …