Lattice Models

Document Type

Book Chapter

Publication Title

Indian Statistical Institute Series

Abstract

It is common to model the stock price movement with a stochastic process that has continuous path, for example a geometric Brownian motion. Computationally one can only evaluate the path at discrete points of time, however dense.

First Page

93

Last Page

107

DOI

10.1007/978-981-19-2008-0_9

Publication Date

1-1-2023

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