TY  - GEN
AB  - The binomial model has been used to price a wide variety of equity and interest rate options for more than two decades. Originally developed by Cox, Ross, and Rubinstein to clarify the basic pricing principle of its continuous-time counterpart with reduced mathematical requirements, the approach became a numerical scheme to evaluate all kinds of contingent claims. Some of the algorithms have dissociated more and more from the basic principles. In this paper we turn to the foundations of the binomial model and elaborate the relation between real world processes, replicating strategies and martingales in a strict way.
DA  - 2005
KW  - Trading strategy
KW  - Option pricing
KW  - Binomial model
KW  - Martingale method
LA  - eng
PY  - 2005
TI  - Replication in Consistent Binomial Models
UR  - https://nbn-resolving.org/urn:nbn:de:hbz:361-8065
Y2  - 2024-11-22T11:00:25
ER  -