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- W4246875500 abstract "This chapter describes the basic assets available in a one-period binomial model and identifies the assumptions on which a one-period binomial model is based. In a one-period model there are two time points: the beginning of the period is time 0 and the end of the period is time 1. In the one-period binomial tree model, all derivatives can be replicated and have a unique no-arbitrage price. Such a market model is also said to be complete. A one-period binomial model is a frictionless financial market composed of only two assets: a risk-free asset and a risky asset. The chapter provides an example that illustrates how to manage a more realistic product sold by insurance companies, namely an investment guarantee. It helps to rewrite the price of a derivative using risk-neutral probabilities, and to recognize that risk-neutral probabilities are only a mathematical convenience." @default.
- W4246875500 created "2022-05-12" @default.
- W4246875500 date "2019-03-14" @default.
- W4246875500 modified "2023-09-23" @default.
- W4246875500 title "One-period binomial tree model" @default.
- W4246875500 doi "https://doi.org/10.1002/9781119526438.ch9" @default.
- W4246875500 hasPublicationYear "2019" @default.
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