Constructing Binomial Trees Via Random Maps for Analysis of Financial Assets
Random maps can be constructed from a priori knowledge of the financial assets. It is also addressed the reverse problem, i.e. from a function of an empirical stationary probability density function we set up a random map that naturally leads to an implied binomial tree, allowing the adjustment of m...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2010-04-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1408/1579 |