Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 145
Issue: C
Pages: 225-229

Authors (4)

Kim, Y.S. (not in RePEc) Stoyanov, S. (not in RePEc) Rachev, S. (not in RePEc) Fabozzi, F. (Groupe EDHEC (École de Hautes ...)

Score contribution per author:

0.251 = (α=2.01 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox–Ross–Rubinstein, the Jarrow–Rudd, and the Tian binomial tree models. The new binomial model is used to resolve a discontinuity problem in option pricing.

Technical Details

RePEc Handle
repec:eee:ecolet:v:145:y:2016:i:c:p:225-229
Journal Field
General
Author Count
4
Added to Database
2026-01-25