IIUM Repository

Random binomial tree models and put options

Ganikhodjaev, Nasir and Bayram, Kamola (2012) Random binomial tree models and put options. In: 2nd International Conference on Mathematical Applications in Engineering (ICMAE2012), 3-5 July 2012, Kuala Lumpur, Malaysia.

This is the latest version of this item.

[img] PDF (Random binomial tree models and put options) - Published Version
Restricted to Registered users only until 29 January 2015.

Download (354kB) | Request a copy
[img] PDF (ICMAE12) - Published Version
Restricted to Registered users only

Download (510kB) | Request a copy


In this paper we introduce and study the simplest random binomial tree model. Usual binomial tree model is prescribed by pair of numbers (u, d), where u denotes the increase rate of the stock over the fixed period of time and d denotes the decrease rate, with 0< d < 1< u. We call the pair (u, d) an environment of the binomial tree model. A pair (Un, Dn), where {Un} and {Dn} are the sequences of independent, identically distributed random variables with 0< Dn < 1< Un for all n, is called a random environment and binomial tree model with random environment is called random binomial tree model. In this paper we define and study European put option for such models.

Item Type: Conference or Workshop Item (Full Paper)
Additional Information: 4430/26982
Uncontrolled Keywords: binomial tree model, random walk in random environment, European call option
Subjects: Q Science > QA Mathematics
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Science > Department of Computational and Theoretical Sciences
Depositing User: Prof. Nasir Ganikhodjaev
Date Deposited: 31 Dec 2012 10:56
Last Modified: 14 Feb 2013 04:43
URI: http://irep.iium.edu.my/id/eprint/26982

Available Versions of this Item

  • Random binomial tree models and put options. (deposited 31 Dec 2012 10:56) [Currently Displayed]

Actions (login required)

View Item View Item


Downloads per month over past year