Search Results - subject:"Trinomial Model"

The insider trading problem in a jump-binomial model

Halconruy, Hélène - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 379-413

Persistent link: https://www.econbiz.de/10014443749

Offshore outsourcing contracts: Real options analysis using trinomial option pricing model

Krishnaswamy, C. R.; Rathinasamy, Rathin S. - In: Global Business & Finance Review (GBFR) 20 (2015) 1, pp. 15-24

Persistent link: https://www.econbiz.de/10012286576

Offshore outsourcing contracts : real options analysis using trinomial option pricing model

Krishnaswamy, C. R.; Rathinasamy, Rathin S. - In: Global business and finance review 20 (2015) 1, pp. 15-24

Persistent link: https://www.econbiz.de/10011434265

Enhancing binomial and trinomial equity option pricing models

Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Finance research letters 28 (2019), pp. 185-190

Persistent link: https://www.econbiz.de/10012388304

The pricing models of covered warrants and empirical study in Thin markets and developed markets

Phan Thi Kieu Hoa; Dinh Thi Tham; Nguyen Quy Thai Duong; … - In: Vietnam's socio-economic development : a social science … 23 (2018) 95, pp. 41-64

Persistent link: https://www.econbiz.de/10011963080

Bounds for path-dependent options

Brown, Donald J.; Ibragimov, Rustam; Walden, Johan - In: Annals of finance 11 (2015) 3/4, pp. 433-451

Persistent link: https://www.econbiz.de/10011459441

Company valuation under risk and flexibility : discrete models comparsion

Culík, Miroslav - In: International journal of risk assessment and management … 17 (2014) 4, pp. 268-282

Persistent link: https://www.econbiz.de/10010489778

Sign Tests for Dependent Observations and Bounds for Path-Dependent Options

Brown, Donald J.; Ibragimov, Rustam - Cowles Foundation for Research in Economics, Yale University - 2005

applications show, in particular, that the expected payoff of a European call option in the trinomial model with log … i.i.d. symmetric two-valued log-returns and, thus, reduce the problem of derivative pricing in the trinomial model with …-normal asset price. These results thus allow one to reduce the problem of pricing options in the trinomial model to the case of two …

Persistent link: https://www.econbiz.de/10005593290

Sign Tests for Dependent Observations and Bounds for Path-Dependent Options

Brown, Donald; Ibragimov, Rustam - School of Management, Yale University - 2005

Persistent link: https://www.econbiz.de/10008854014

A probabilistic analysis of the trading the line strategy

Abramov, V.; Khan, M. K.; Khan, R. A. - In: Quantitative Finance 8 (2008) 5, pp. 499-512

We provide analytic models for which the appropriate statistics of the trading the line strategy, Nh, can be derived in closed form. In particular, we provide closed-form expressions concerning the average duration of the open position, E(Nh), the variance of the open duration, Var(Nh), the...

Persistent link: https://www.econbiz.de/10005495731