Journal title
Applied Stochastic Models in Business and Industry
DOI
10.1002/asmb.2318
Issue
6
Volume
34
Last updated
2023-11-19T03:30:47.23+00:00
Page
774-781
Abstract
The binomial model is a standard framework used to introduce risk neutral pricing of financial assets. Martingale representation, backward stochastic differential equations, and the Malliavin calculus are difficult concepts in a continuous‐time setting. This paper presents these ideas in the simple, discrete‐time binomial model.
Symplectic ID
820377
Submitted to ORA
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Publication type
Journal Article
Publication date
13 Feb 2018