Articles liés à On Binomial Asset Pricing Model: With convergence to...

On Binomial Asset Pricing Model: With convergence to Black-Scholes model and sigma algebra - Couverture souple

Paul, Subrata; Ahmed Ullah, Shaik; Ullah Mozumder, Sharif

 
9783838383910: On Binomial Asset Pricing Model: With convergence to Black-Scholes model and sigma algebra
Couverture souple
ISBN 10 : 3838383915 ISBN 13 : 9783838383910
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

Here statistical technique of assigning probabilities to randomly evolved sample paths in coin-toss space is discussed. The intuition carries into continuous time stochastic processes as well. Conditional expectation, one of the key concepts, is discussed and results are produced to make the conceptions clear on how this estimates work. All these results are valid in continuous time math finance area and act as primary tools in this research arena. Martingale, another useful notion, is defined and all related Martingales in binomial asset pricing model are reported as they develop mathematically. The program on conditional expectation given in Chapter III basically helps us to build another useful code on Martingale. A program, given in Chapter-IV and with this Elaborations and discussions are produced to convince what really carrying information through Sigma-algebra in Binomial model means. Chapter-V finally deals with the fact why studying Binomial model is important. A detailed study shows the convergence of Binomial option prices to the celebrated Black-Scholes option prices, where the importance lies.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Here statistical technique of assigning probabilities to randomly evolved sample paths in coin-toss space is discussed. The intuition carries into continuous time stochastic processes as well. Conditional expectation, one of the key concepts, is discussed and results are produced to make the conceptions clear on how this estimates work. All these results are valid in continuous time math finance area and act as primary tools in this research arena. Martingale, another useful notion, is defined and all related Martingales in binomial asset pricing model are reported as they develop mathematically. The program on conditional expectation given in Chapter III basically helps us to build another useful code on Martingale. A program, given in Chapter-IV and with this Elaborations and discussions are produced to convince what really carrying information through Sigma-algebra in Binomial model means. Chapter-V finally deals with the fact why studying Binomial model is important. A detailed study shows the convergence of Binomial option prices to the celebrated Black-Scholes option prices, where the importance lies.

Biographie de l'auteur

Subrata Paul B.Sc (University of Dhaka), M.S(University of Dhaka) Faculty of Mathematics, International University of Business Agriculture and Technology (IUBAT). Research interests: Financial Mathematics specially asset pricing, Stochastic process and Calculus, Numerical Analysis.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3838383915
ISBN 13 
9783838383910
Reliure
Broché
Nombre de pages
72
Coordonnées du fabricant
non disponible
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