Random dynamics and finance: constructing implied binomial trees from a predetermined stationary density
Random dynamics and finance: constructing implied binomial trees from a predetermined stationary density
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DOI：
10.1002/asmb.663
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发表时间：
2007-05
影响因子：
1.4
通讯作者：
Wael Bahsoun;P. Góra;Silvia Mayoral;Manuel Morales
中科院分区：
文献类型：
--
作者：
Wael Bahsoun;P. Góra;Silvia Mayoral;Manuel Morales
We introduce a general binomial model for asset prices based on the concept of random maps. The asymptotic stationary distribution for such model is studied using techniques from dynamical systems. In particular, we present a technique to construct a general binomial model with a predetermined stationary distribution. This technique is independent of the chosen distribution making our model potentially useful in financial applications. We brie y explore the suitability of our construction as an implied binomial tree.
