Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den

Wael Bahsoun (), Pawel Góra (), Silvia Mayoral and Manuel Morales ()
Additional contact information
Wael Bahsoun: University of Victoria
Pawel Góra: Concordia University
Manuel Morales: University of Montreal

No 13/06, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: We introduce a general binomial model for asset prices based on the concept of random maps. The asymptotic stationary distribution for such model is studied using techniques from dynamical systems. In particular, we present a technique to construct a general binomial model with a predetermined stationary distribution. This technique is independent of the chosen distribution making our model potentially useful in financial applications. We brie y explore the suitability of our construction as an implied binomial tree.

Date: 2006-09-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published, Applied Stochastics models in Business and Industry, 2007, vol. 23(3): pp. 181-212.

Downloads: (external link)
http://www.unav.edu/documents/10174/6546776/1160726031_wp1306.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.unav.edu/documents/10174/6546776/1160726031_wp1306.pdf [301 Moved Permanently]--> https://www.unav.edu/documents/10174/6546776/1160726031_wp1306.pdf)

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:una:unccee:wp1306

Access Statistics for this paper

More papers in Faculty Working Papers from School of Economics and Business Administration, University of Navarra
Bibliographic data for series maintained by ().