Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den

• Autores: Wael Bahsoun, Pawel Góra, Silvia Mayoral Blaya, Manuel Morales
• Localización: Working Papers ( Universidad de Navarra. Facultad de Ciencias Económicas y Empresariales ), Nº. 13, 2006
• Idioma: inglés
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• Resumen

  • We introduce a general binomial model for asset prices based on the concept of random maps. The asymptotic stationary distribution for such model is studied using techniques from dynamical systems. In particular, we present a technique to construct a general binomial model with a predetermined stationary distribution. This technique is independent of the chosen distribution making our model potentially useful in financial applications. We brie y explore the suitability of our construction as an implied binomial tree.