This article develops a flexible binomial model with a "tilt" parameter that alters the shape and span of the binomial tree. A positive tilt parameter shifts the tree upward while a negative tilt parameter does exactly the opposite. This simple extension of the standard binomial model is shown to co
β¦ LIBER β¦
A multiperiod binomial model for pricing options in a vague world
β Scribed by Silvia Muzzioli; Costanza Torricelli
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 491 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0165-1889
No coin nor oath required. For personal study only.
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