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Financial Analytics and A Binomial Pricing Model

In: Future Perspectives in Risk Models and Finance

Author

Listed:
  • Charles S. Tapiero

    (New York University Polytechnic School of Engineering)

  • Jiangyi Qi

    (New York University Polytechnic School of Engineering)

Abstract

The physical fact that we are always in a present has motivated our quest to define a virtual past (model) as a memory and a virtual future as a rational expectation of future prices (though current option prices for example). To frame a future in a cognitive manner, “expectations-models” and scenarios generating approaches are constructed based on experience, memory, information, needs and attitudes. These are the factors that define our predictions and expectations of future financial prices for example. In a broad sense, we do have memory of stock prices and these dictate our actions that contribute to financial modeling by the manners we use to structure both memory and future expectations. This paper considers a binomial memory-less price model and memory prone extensions including Short run and Bayesian Learning models.

Suggested Citation

  • Charles S. Tapiero & Jiangyi Qi, 2015. "Financial Analytics and A Binomial Pricing Model," International Series in Operations Research & Management Science, in: Alain Bensoussan & Dominique Guegan & Charles S. Tapiero (ed.), Future Perspectives in Risk Models and Finance, edition 127, pages 287-313, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-07524-2_8
    DOI: 10.1007/978-3-319-07524-2_8
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