PRICING UNDER BERNOULLI DYNAMICS

T. W. Epps
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T. W. Epps: University of Virginia, USA

Chapter 5 in Pricing Derivative Securities, 2000, pp 177-255 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The Structure of Bernoulli DynamicsSelf-Financing Portfolios in Discrete TimeReplication and Binomial PricingInterpreting the Binomial SolutionThe P.D.E. InterpretationThe Risk-Neutral or Martingale InterpretationSpecific ApplicationsEuropean Stock OptionsBinomial Pricing of Futures and Futures OptionsAmerican-Style DerivativesDerivatives on Assets That Pay DividendsImplementing the Binomial MethodModelling the DynamicsEfficient CalculationInferring Trees from Option PricesAssessing the Implicit Risk-Neutral Distribution of STBuilding the TreeAppraisal

Keywords: Arbitrage; Calls; Swaps; Finance; Futures; Hedging; Martingales; Options; P.D.E.S; Puts (search for similar items in EconPapers)
Date: 2000
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