Search results with tag "Binomial lattice model for stock prices"

Binomial lattice model for stock prices - Columbia

Binomial lattice model for stock prices Here we model the price of a stock in discrete time by a Markov chain of the recursive form S n+1 = S nY n+1, n ≥ 0, where the {Y i} are iid with distribution P(Y = u) = p, P(Y = d) = 1 − p. Here 0 < d < 1 + r < u are constants with r the risk-free interest rate ((1 + r)x is the

  Model, Recip, Columbia, Stocks, Lattice, Binomial, Binomial lattice model for stock prices