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Journal of Applied Sciences
  Year: 2012 | Volume: 12 | Issue: 18 | Page No.: 1978-1981
DOI: 10.3923/jas.2012.1978.1981
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Random Binomial Tree Models and Options
Nasir Ganikhodjaev and Kamola Bayram

In this study, we introduce 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} be the sequences of independent, identically distributed random variables with Un>1 and 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 call option for such models.
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How to cite this article:

Nasir Ganikhodjaev and Kamola Bayram, 2012. Random Binomial Tree Models and Options. Journal of Applied Sciences, 12: 1978-1981.

DOI: 10.3923/jas.2012.1978.1981








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