12 citations · 45 across the 49 of their papers we have counts for
Showing 2016 · q-fin.PRShow all
2 papers · 2 filters
q-fin.PR2016
Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion
Y. S. Kim, S. Stoyanov, S. Rachev +1
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rud…
q-fin.PR2016
A New Set of Financial Instruments
Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev +1
In complete markets, there are risky assets and a riskless asset. It is assumed that the riskless asset and the risky asset are traded continuously in time and that the market is f…