Search Results - subject:"Binomial and trinomial tree models"

Geometric stopping of a random walk and its applications to valuing equity-linked death benefits

Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang - In: Insurance / Mathematics & economics 64 (2015), pp. 313-325

Persistent link: https://www.econbiz.de/10011398088

INCREASING THE ACCURACY OF OPTION PRICING BY USING IMPLIED PARAMETERS RELATED TO HIGHER MOMENTS

Ji, Dasheng; Brorsen, B. Wade - 2000

and trinomial tree models to imply the parameters related to the higher moments. The results demonstrate that using … programming. The usual binomial and trinomial models are special cases. We use the Jarrow-Rudd formula and the relaxed binomial …

Persistent link: https://www.econbiz.de/10009443000

INCREASING THE ACCURACY OF OPTION PRICING BY USING IMPLIED PARAMETERS RELATED TO HIGHER MOMENTS

Ji, Dasheng; Brorsen, B. Wade - NCR-134 Conference on Applied Commodity Price Analysis, … - 2000

Persistent link: https://www.econbiz.de/10005807877