collaborators

1 paper

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…