In this paper we study a binomial model with random time steps and explain how to calculate values for European and American call and put options. We prove both weak convergence of the discrete processes to the Black}Scholes setup and convergence of the values for European and American put options.
✦ LIBER ✦
The failure time random variable modelling
✍ Scribed by I.J. Jóźwiak
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 405 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0026-2714
No coin nor oath required. For personal study only.
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