Using the Binomial Model

George Constantinides

Chapter 8 in Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 123-137 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionDividendsEarly ExerciseTime-Dependent Binomial TreesChoosing the Inputs to the Binomial ModelIs the Binomial Model with d = 1/u Reasonable?The Log-Normal DistributionLessons from Long-Term Capital Management (LTCM)Assignment 5

Keywords: Futures; Forwards; Options; Corporate Securities; Derivatives; Hedging; Risk Management (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814618434_0008 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814618434_0008 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814618434_0008

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().