IDEAS home Printed from https://ideas.repec.org/a/brf/journl/v8y2010i1p25-43.html
   My bibliography  Save this article

Constructing Binomial Trees Via Random Maps for Analysis of Financial Assets

Author

Listed:
  • Antonio Airton Carneiro de Freitas

    (FEA USP)

  • José Roberto Securato

    (FEA USP)

Abstract

Random maps can be constructed from a priori knowledge of the financial assets. It is also addressed the reverse problem, i.e. from a function of an empirical stationary probability density function we set up a random map that naturally leads to an implied binomial tree, allowing the adjustment of models, including the ability to incorporate jumps. An applica- tion related to the options market is presented. It is emphasized that the quality of the model to incorporate a priori knowledge of the financial asset may be affected, for example, by the skewed vision of the analyst. (Full article available in Portuguese only)

Suggested Citation

  • Antonio Airton Carneiro de Freitas & José Roberto Securato, 2010. "Constructing Binomial Trees Via Random Maps for Analysis of Financial Assets," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(1), pages 25-43.
    • Handle: RePEc:brf:journl:v:8:y:2010:i:1:p:25-43
    as

    Download full text from publisher

    File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/download/1408/1579
    Download Restriction: no
    File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1408
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    binomial trees; options; random maps;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:brf:journl:v:8:y:2010:i:1:p:25-43. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marcio Laurini (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.