Fraunhofer-Gesellschaft

Publica

Hier finden Sie wissenschaftliche Publikationen aus den Fraunhofer-Instituten.

Binomial trees in option pricing - history, practical applications and recent developments

 
: Korn, R.; Müller, S.

:

Devroye, L. (Hrsg.):
Recent developments in applied probability and statistics. Dedicated to the memory of Jürgen Lehn : Invited papers that were presented at the Workshop on Recent Developments in Applied Probability and Statistics Dedicated to the Memory of Professor Jürgen Lehn, Middle East Technical University (METU), Ankara, April 23 - 24, 2009
Berlin: Springer, 2010
ISBN: 978-3-7908-2597-8 (print)
ISBN: 978-3-7908-2598-5 (online)
DOI: 10.1007/978-3-7908-2598-5
S.59-77
Workshop on Recent Developments in Applied Probability and Statistics <2009, Ankara>
Englisch
Konferenzbeitrag
Fraunhofer ITWM ()

Abstract
We survey the history and application of binomial tree methods in option pricing. Further, we highlight some recent developments and point out problems for future research.

: http://publica.fraunhofer.de/dokumente/N-184895.html