Questions tagged [binomial]
The binomial tag has no usage guidance.
8
questions with no upvoted or accepted answers
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American put option in binomial model - arbitrage opportunity?
I'm sorry this must be an elementary question. I spent a good deal of time searching through webs including this site for the problem but I got none.
Here's the problem:
Say we have a binomial tree ...
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0answers
17 views
Question about Paul Kupiec's “concentrated Bond loss rate distribution”
I wonder if anyone here has read the following paper by Paul Kupiec in which he approximates a loss rate distribution for a portfolio composed of (possibly) concentrated bond positions.
https://www....
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159 views
R/fOptions Binomial Options Pricing warning message
Trying to compute theoretical prices for a set of options using the R package fOptions:
...
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240 views
Two-period binomial model for American option
Consider a two-period binomial model for a risk asset with each period equal to a year and take $S_0 = 1$, $u = 1.5$, and $l = 0.6$. The interest rate for both periods is $R = .1$.
a.) Price an ...
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61 views
Jabbour-Kramin-Young ABMC Binomial Parameterization
The JKY ABMC Model (taken from Jabbour, et al. 2001) parameterizes the binomial model (in a risk-neutral world) such that,
$u = e^{r\Delta t} + e^{r\Delta t}\sqrt{e^{\sigma^2\Delta t} - 1}$
$d = e^{...
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212 views
How to price an option with a “step up” feature using binomial tree?
I have a call option with expiry in two years. In my case the option is bermudan style with first 9 months w/o ability to exercise (i.e. European) and after exercise at any time (i.e. American), but I ...
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28 views
Binomial tree for elementary security
I'm coursing a financial engineering course and must build a binomial tree for a security that is valued 1 in state and time 0. I dont get the formula given by the instructors, and trying to apply the ...
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15 views
Binomial correlation measure in the trivariate case
I have a question about the binomial correlation measure at page 530 in Hull(2009), Options futures and other derivatives (7th Edition) which is defined for the bivariate case as:
$\beta_{AB}(T)=\...
