FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W158128602> ?p ?o ?g. }

• W158128602 abstract "In the past decades several versions of the binomial model for option pricing, originally introduced by Cox, Ross, and Rubinstein, have been discussed in the finance literature. Some of these approaches model an arbitrage-free market in the discrete setup whereas others attain this property only in the limit. We analyze the interrelation between the drift coefficient of price processes on arbitrage-free financial markets and the corresponding transition probabilities induced by a martingale measure. As a result, we obtain a flexible setting that encompasses most arbitrage-free binomial models and provides modifications for those that offer arbitrage opportunities. It is argued that the knowledge of the link between drift and transition probabilities may be useful for pricing derivatives such as barrier options. A simple example is presented to illustrate this idea." @default.
• W158128602 created "2016-06-24" @default.
• W158128602 creator A5030209483 @default.
• W158128602 date "2004-01-01" @default.
• W158128602 modified "2023-09-26" @default.
• W158128602 title "Constructing Arbitrage-free Binomial Models" @default.
• W158128602 cites W1503295912 @default.
• W158128602 cites W1976621221 @default.
• W158128602 cites W1985018066 @default.
• W158128602 cites W2041550349 @default.
• W158128602 cites W2047628544 @default.
• W158128602 cites W2056254771 @default.
• W158128602 cites W2064975723 @default.
• W158128602 cites W2066252892 @default.
• W158128602 cites W2077791698 @default.
• W158128602 cites W2124983711 @default.
• W158128602 cites W2146612430 @default.
• W158128602 cites W2155664708 @default.
• W158128602 cites W2172282602 @default.
• W158128602 cites W2751862591 @default.
• W158128602 cites W3122280466 @default.
• W158128602 cites W3217038484 @default.
• W158128602 hasPublicationYear "2004" @default.
• W158128602 type Work @default.
• W158128602 sameAs 158128602 @default.
• W158128602 citedByCount "0" @default.
• W158128602 crossrefType "journal-article" @default.
• W158128602 hasAuthorship W158128602A5030209483 @default.
• W158128602 hasConcept C105235620 @default.
• W158128602 hasConcept C105795698 @default.
• W158128602 hasConcept C106159729 @default.
• W158128602 hasConcept C134306372 @default.
• W158128602 hasConcept C142450864 @default.
• W158128602 hasConcept C144237770 @default.
• W158128602 hasConcept C149782125 @default.
• W158128602 hasConcept C151201525 @default.
• W158128602 hasConcept C160623529 @default.
• W158128602 hasConcept C162324750 @default.
• W158128602 hasConcept C167416602 @default.
• W158128602 hasConcept C181236170 @default.
• W158128602 hasConcept C194483076 @default.
• W158128602 hasConcept C28451198 @default.
• W158128602 hasConcept C28826006 @default.
• W158128602 hasConcept C33923547 @default.
• W158128602 hasConcept C41054675 @default.
• W158128602 hasConcept C42854785 @default.
• W158128602 hasConcept C48406656 @default.
• W158128602 hasConcept C52008547 @default.
• W158128602 hasConcept C58435881 @default.
• W158128602 hasConcept C73688673 @default.
• W158128602 hasConcept C76374431 @default.
• W158128602 hasConceptScore W158128602C105235620 @default.
• W158128602 hasConceptScore W158128602C105795698 @default.
• W158128602 hasConceptScore W158128602C106159729 @default.
• W158128602 hasConceptScore W158128602C134306372 @default.
• W158128602 hasConceptScore W158128602C142450864 @default.
• W158128602 hasConceptScore W158128602C144237770 @default.
• W158128602 hasConceptScore W158128602C149782125 @default.
• W158128602 hasConceptScore W158128602C151201525 @default.
• W158128602 hasConceptScore W158128602C160623529 @default.
• W158128602 hasConceptScore W158128602C162324750 @default.
• W158128602 hasConceptScore W158128602C167416602 @default.
• W158128602 hasConceptScore W158128602C181236170 @default.
• W158128602 hasConceptScore W158128602C194483076 @default.
• W158128602 hasConceptScore W158128602C28451198 @default.
• W158128602 hasConceptScore W158128602C28826006 @default.
• W158128602 hasConceptScore W158128602C33923547 @default.
• W158128602 hasConceptScore W158128602C41054675 @default.
• W158128602 hasConceptScore W158128602C42854785 @default.
• W158128602 hasConceptScore W158128602C48406656 @default.
• W158128602 hasConceptScore W158128602C52008547 @default.
• W158128602 hasConceptScore W158128602C58435881 @default.
• W158128602 hasConceptScore W158128602C73688673 @default.
• W158128602 hasConceptScore W158128602C76374431 @default.
• W158128602 hasIssue "530" @default.
• W158128602 hasLocation W1581286021 @default.
• W158128602 hasOpenAccess W158128602 @default.
• W158128602 hasPrimaryLocation W1581286021 @default.
• W158128602 hasRelatedWork W1552869532 @default.
• W158128602 hasRelatedWork W1563097663 @default.
• W158128602 hasRelatedWork W1972838110 @default.
• W158128602 hasRelatedWork W2023952125 @default.
• W158128602 hasRelatedWork W2078419004 @default.
• W158128602 hasRelatedWork W2081196479 @default.
• W158128602 hasRelatedWork W2123491032 @default.
• W158128602 hasRelatedWork W2129272310 @default.
• W158128602 hasRelatedWork W2131083915 @default.
• W158128602 hasRelatedWork W2145035301 @default.
• W158128602 hasRelatedWork W2145890919 @default.
• W158128602 hasRelatedWork W2484418892 @default.
• W158128602 hasRelatedWork W2502836474 @default.
• W158128602 hasRelatedWork W2772719965 @default.
• W158128602 hasRelatedWork W3121164424 @default.
• W158128602 hasRelatedWork W3122009644 @default.
• W158128602 hasRelatedWork W3123179868 @default.
• W158128602 hasRelatedWork W3123780353 @default.
• W158128602 hasRelatedWork W3125035766 @default.
• W158128602 hasRelatedWork W61685045 @default.
• W158128602 isParatext "false" @default.
• W158128602 isRetracted "false" @default.

• next