On pricing futures options on random binomial tree
The discrete-time approach to real option valuation has typically been implemented in the finance literature using a binomial tree framework. Instead we develop a new model by randomizing the environment and call such model a random binomial tree. Whereas the usual model has only one environment (u,...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Institute of Physics Publishing (UK)
2013
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Subjects: | |
Online Access: | http://irep.iium.edu.my/30029/ http://irep.iium.edu.my/30029/1/iCAST2012_Kamola.pdf |