A Generalized Cox-Ross-Rubinstein Option Market Model
- 1999-07-19 (Mon.), 10:30 AM
- Recreation Hall, 2F, Institute of Statistical Science
- Prof. DrSc Nguyen van Huu
- Hanoi National University
Abstract
A generalized Cox-Ross-Rubinstein option market model will be considered. The model is a good approximation for continuous time stock price model of the form d S_t = S_t (mu (t) dt + sigma (t) d w_t, so given, t between 0 and T, where mu (t), sigma (t) are the deterministic functions, w_t is a Wiener process. The limit theorems for the stock price in the model and their applications to approximate defining of the reasonable price and of the hedging strategy of standard European option are suggested.
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