A Note on Constructing 50-50 Step Probability Binomial Lattices to Replicate Wiener Diffusion
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- Allen Abrahamson, 2003. "Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options," Finance 0305005, EconWPA.
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KeywordsBinomial Lattices; Wiener Processes; Option Valuation Methods;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-18 (All new papers)
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