Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion

Y. S. Kim, S. Stoyanov, S. Rachev and Frank Fabozzi ()

Papers from arXiv.org

Abstract: We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian binomial tree models. The new binomial model is used to resolve a discontinuity problem in option pricing.

Date: 2016-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://arxiv.org/pdf/1612.01979 Latest version (application/pdf)

Related works:
Journal Article: Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion (2016)
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:arx:papers:1612.01979

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().