Pricing Options Based on Trinomial Markov Tree
A trinomial Markov tree model is studied for pricing options in which the dynamics of the stock price are modeled by the first-order Markov process. Firstly, we construct a trinomial Markov tree with recombining nodes. Secondly, we give an algorithm for estimating the risk-neutral probability and pr...
| Published in: | Discrete Dynamics in Nature and Society |
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| Main Authors: | , , , , |
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Online Access: | http://dx.doi.org/10.1155/2014/624360 |