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Estensione della tecnica degli alberi bi/tri-nominali ad alberi N-nomiali. Applicazione ai processi diffusivi con salto

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  • Massimiliano Corradini

Abstract

Nel presente articolo è proposta un'estensione della tecnica degli alberi bi/tri-nomiali, largamente usata per la valutazione di titoli derivati, ad una tecnica basata sulla costruzione di alberi N-nomiali, con N intero arbitrario. Il vantaggio di tale tecnica consiste essenzialmente in 1) utilizzo di probabilità di transizione da un nodo ad un altro deducibili direttamente dall'evoluzione del sottostante in ambito "risk-neutral"; 2) facilità di realizzazione del codice per il calcolo numerico e notevole precisazione di calcolo in tempo brevi; 3) agevolte trattazione dei processi diffusivi ocn salto. I risultati ottenuti nel presente articolo sono simili a quelli ottenibili tramite uno schema di calcolo basato sull'integrazione in spazi di dimensione infinita (integrali di cammino di Feynmann). Si confrontino, relativamente al caso di processi stocastici puramente diffusivi, i riferimenti bibliografici.

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Bibliographic Info

Paper provided by Department of Economics - University Roma Tre in its series Departmental Working Papers of Economics - University 'Roma Tre' with number 0039.

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Length: 23
Date of creation: Jun 2004
Date of revision:
Handle: RePEc:rtr:wpaper:0039

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