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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

Abstract:
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

URL: https://scialert.net/abstract/?doi=jas.2012.1978.1981

 
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