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On Wrapped Binomial Model Characteristics
, 2014
"... Abstract In this paper, a new discrete circular model, the Wrapped Binomial model is constructed by applying the method of wrapping a discrete linear model. The characteristic function of the Wrapped Binomial Distribution is also derived and the population characteristics are studied. ..."
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Abstract In this paper, a new discrete circular model, the Wrapped Binomial model is constructed by applying the method of wrapping a discrete linear model. The characteristic function of the Wrapped Binomial Distribution is also derived and the population characteristics are studied.
The randomtime binomial model
 J. Econ. Dyn. Control
, 1999
"... In this paper we study a binomial model with random time steps and explain how to calculate values for European and American call and put options. We prove both weak convergence of the discrete processes to the Black}Scholes setup and convergence of the values for European and American put options. ..."
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Cited by 3 (0 self)
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In this paper we study a binomial model with random time steps and explain how to calculate values for European and American call and put options. We prove both weak convergence of the discrete processes to the Black}Scholes setup and convergence of the values for European and American put options
Properties of the compound Markov binomial model
"... Gerber (1988) has proposed a compound binomial model to describe the surplus process of an insurance company. This model was then studied by Shiu (1989), Willmot (1993) et Dickson (1994). Within the compound binomial model, the claims occur according to a binomial process with independent increment ..."
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Gerber (1988) has proposed a compound binomial model to describe the surplus process of an insurance company. This model was then studied by Shiu (1989), Willmot (1993) et Dickson (1994). Within the compound binomial model, the claims occur according to a binomial process with independent
Estimation, Scaled Binomial Model
"... rently uses an empirical Bayes estimation method similar to the Fay and Herriot (1979) model to produce biennial intercensal estimates of the poverty rates and counts of poor within counties. The dependent variable is formed from a threeyear average of the March Current Population Survey (CPS) su ..."
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nial census data to estimate the model error variance term. To address these problems, a hierarchical Bayes model based on a scaled binomial kernel has been developed (see Fisher and Asher (1999)). The scaling factor corrects for both the overdispersion of the variance and the complexity of the CPS sample
The compound binomial model revisited
"... In this paper we recap the discrete model and views by Gerber (1988), also retaken by other authors. That is, we consider a discrete time risk model where the aggregate claim process is compound binomial. In each period there is a claim with probability p, or no claim with probability 1 − p and th ..."
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In this paper we recap the discrete model and views by Gerber (1988), also retaken by other authors. That is, we consider a discrete time risk model where the aggregate claim process is compound binomial. In each period there is a claim with probability p, or no claim with probability 1 − p
Continuous time limit of the Binomial Model
, 2004
"... I would like to acknowledge my sponsors, The African Institute for Mathematical Sciences, and it donors for giving me an opportunity to undertake the Diploma programme, my supervisor, Dr. Diane Wilcox (UCT), for her advice and kindness with reading materials, my fellow colleagues; special regards t ..."
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the convergence of option prices in the binomial model to the price given by the latter. We also show the convergence of option prices to the geometric Weiner process which is a preassumption of the BlackScholes model by relating the parameters of the binomial model (up and down return) with the parameters
Indifference valuation in incomplete binomial models
"... Abstract The indifference valuation problem in incomplete binomial models is analyzed. The model is more general than the ones studied so far, because the stochastic factor, which generates the market incompleteness, may affect the transition propabilities and/or the values of the traded asset as w ..."
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Abstract The indifference valuation problem in incomplete binomial models is analyzed. The model is more general than the ones studied so far, because the stochastic factor, which generates the market incompleteness, may affect the transition propabilities and/or the values of the traded asset
Constructing Arbitragefree Binomial Models
, 2004
"... Discussion Paper No. 530 In the past decades several versions of the binomial model for option pricing, originally introduced by COX, ROSS, AND RUBINSTEIN, have been discussed in the finance literature. Some of these approaches model an arbitragefree market in the discrete setup whereas others att ..."
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Discussion Paper No. 530 In the past decades several versions of the binomial model for option pricing, originally introduced by COX, ROSS, AND RUBINSTEIN, have been discussed in the finance literature. Some of these approaches model an arbitragefree market in the discrete setup whereas others
The Discrete Binomial Model for Option Pricing
, 2008
"... This paper introduces the notion of option pricing in the context of financial markets. The discrete time, oneperiod binomial model is explored and generalized to the multiperiod binomial model. The multiperiod model is then redeveloped using the sophisticated tools of martingale theory. The pap ..."
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This paper introduces the notion of option pricing in the context of financial markets. The discrete time, oneperiod binomial model is explored and generalized to the multiperiod binomial model. The multiperiod model is then redeveloped using the sophisticated tools of martingale theory
Results 1  10
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2,132