Replication in Consistent Binomial Models
Wöster C (2005) Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld; 545.
Bielefeld: Universität Bielefeld.
Working Paper
| Published
| English
Author
Wöster, Christoph
Department
Abstract
The binomial model has been used to price a wide variety of equity and interest rate options for more than two decades. Originally developed by Cox, Ross, and Rubinstein to clarify the basic pricing principle of its continuous-time counterpart with reduced mathematical requirements, the approach became a numerical scheme to evaluate all kinds of contingent claims. Some of the algorithms have dissociated more and more from the basic principles. In this paper we turn to the foundations of the binomial model and elaborate the relation between real world processes, replicating strategies and martingales in a strict way.
Keywords
Publishing Year
PUB-ID
Cite this
Wöster C. Replication in Consistent Binomial Models. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Vol 545. Bielefeld: Universität Bielefeld; 2005.
Wöster, C. (2005). Replication in Consistent Binomial Models (Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, 545). Bielefeld: Universität Bielefeld.
Wöster, C. (2005). Replication in Consistent Binomial Models. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, 545, Bielefeld: Universität Bielefeld.
Wöster, C., 2005. Replication in Consistent Binomial Models, Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, no.545, Bielefeld: Universität Bielefeld.
C. Wöster, Replication in Consistent Binomial Models, Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, vol. 545, Bielefeld: Universität Bielefeld, 2005.
Wöster, C.: Replication in Consistent Binomial Models. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, 545. Universität Bielefeld, Bielefeld (2005).
Wöster, Christoph. Replication in Consistent Binomial Models. Bielefeld: Universität Bielefeld, 2005. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. 545.
All files available under the following license(s):
Copyright Statement:
This Item is protected by copyright and/or related rights. [...]
Main File(s)
Access Level

Last Uploaded
2017-04-05T13:12:28Z
This data publication is cited in the following publications:
This publication cites the following data publications: