Relevant bibliographies by topics / Binomial tree

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Binomial tree'

Author: Grafiati
Published: 4 June 2021
Last updated: 8 February 2022

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Journal articles on the topic "Binomial tree"

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Leduc, Guillaume, and Merima Nurkanovic Hot. "Joshi’s Split Tree for Option Pricing." Risks 8, no. 3 (August 1, 2020): 81. http://dx.doi.org/10.3390/risks8030081.

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In a thorough study of binomial trees, Joshi introduced the split tree as a two-phase binomial tree designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied to pricing American put options. Here we introduce a “flexible” version of Joshi’s tree, and develop the corresponding convergence theory in the European case: we find a closed form formula for the coefficients of 1/n and 1/n3/2 in the expansion of the error. Then we define several optimized versions of the tree, and find closed form formulae for the parameters of these optimal variants. In a numerical study, we found that in the American case, an optimized variant of the tree significantly improved the performance of Joshi’s original split tree.
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Hanafizadeh, Payam, Amir Hossein Mortazavi Qahi, and Kumaraswamy Ponnambalam. "Robust Option through Binomial Tree Method." International Journal of Strategic Decision Sciences 6, no. 4 (October 2015): 42–53. http://dx.doi.org/10.4018/ijsds.2015100103.

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This study proposes a robust approach for pricing a European option using the binomial tree method. This method considers stock up and down prices in a closed and convex region, called the uncertainty region, defined by the covariance matrix of high and low stock prices. The option model uses this uncertainty region for pricing instead of spot prices. The method proposes an interval of prices for an option considering incidences of the worst and the best states of the stock price. The interval is flexible as it takes into account the covariance of the historical data of a stock's high and low prices and the radius of an uncertainty region.
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Muroi, Yoshifumi, and Shintaro Suda. "Computation of Greeks Using Binomial Tree." Journal of Mathematical Finance 07, no. 03 (2017): 597–623. http://dx.doi.org/10.4236/jmf.2017.73031.

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Ganikhodja, Nasir, and Kamola Bayram. "Random Binomial Tree Models and Options." Journal of Applied Sciences 12, no. 18 (September 1, 2012): 1978–81. http://dx.doi.org/10.3923/jas.2012.1978.1981.

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Xiaoping, Hu, and Cao Jie. "Randomized Binomial Tree and Pricing of American-Style Options." Mathematical Problems in Engineering 2014 (2014): 1–6. http://dx.doi.org/10.1155/2014/291737.

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Randomized binomial tree and methods for pricing American options were studied. Firstly, both the completeness and the no-arbitrage conditions in the randomized binomial tree market were proved. Secondly, the description of the node was given, and the cubic polynomial relationship between the number of nodes and the time steps was also obtained. Then, the characteristics of paths and storage structure of the randomized binomial tree were depicted. Then, the procedure and method for pricing American-style options were given in a random binomial tree market. Finally, a numerical example pricing the American option was illustrated, and the sensitivity analysis of parameter was carried out. The results show that the impact of the occurrence probability of the random binomial tree environment on American option prices is very significant. With the traditional complete market characteristics of random binary and a stronger ability to describe, at the same time, maintaining a computational feasibility, randomized binomial tree is a kind of promising method for pricing financial derivatives.
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BRATHA, I. GEDE RENDIAWAN ADI, KOMANG DHARMAWAN, and NI LUH PUTU SUCIPTAWATI. "PENENTUAN HARGA KONTRAK OPSI KOMODITAS EMAS MENGGUNAKAN METODE POHON BINOMIAL." E-Jurnal Matematika 6, no. 2 (June 7, 2017): 99. http://dx.doi.org/10.24843/mtk.2017.v06.i02.p153.

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Holding option contracts are considered as a new way to invest. In pricing the option contracts, an investor can apply the binomial tree method. The aim of this paper is to present how the European option contracts are calculated using binomial tree method with some different choices of strike prices. Then, the results are compared with the Black-Scholes method. The results obtained show the prices of call options contracts of European type calculated by the binomial tree method tends to be cheaper compared with the price of that calculated by the Black-Scholes method. In contrast to the put option prices, the prices calculated by the binomial tree method are slightly more expensive.
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Leipus, Remigijus, and Alfredas Račkauskas. "Security price modelling by a binomial tree." Applicationes Mathematicae 26, no. 3 (1999): 253–66. http://dx.doi.org/10.4064/am-26-3-253-266.

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Yinghua, Li, and Li Xingsi. "Entropy Binomial Tree Model for Option Pricing." Applied Mathematics & Information Sciences 7, no. 1 (January 1, 2013): 151–59. http://dx.doi.org/10.12785/amis/070118.

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WU, JIE. "TIGHT BOUNDS ON THE NUMBER OF l-NODES IN A FAULTY HYPERCUBE." Parallel Processing Letters 05, no. 02 (June 1995): 321–28. http://dx.doi.org/10.1142/s0129626495000308.

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The spanning binomial tree is one of most frequently used spanning tree structures to implement various parallel applications in multiprocessor systems, such as hypercubes. In this paper, we define an l-node as a root node of an incomplete spanning binomial tree of a hypercube, which is defined as a connected subtree of a spanning binomial tree with the same root node that connects all the nonfaulty nodes in the hypercube. We show that in an n-dimensional hypercube with m faulty nodes there are at least 2n − 2ml-nodes. This implies that at least half of the nodes of the hypercube are l-nodes if the number of faulty nodes is less than the dimension of the hypercube.
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Caicedo R., Luis Sigifredo, Edgar Herney Varón D., and Helena Luisa Brochero. "Binomial sampling of Paraleyrodes Quaintance pos. bondari (Hemiptera: Aleyrodidae) in Persea americana Mill." Agronomía Colombiana 34, no. 2 (May 1, 2016): 209–16. http://dx.doi.org/10.15446/agron.colomb.v34n2.54084.

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Fresno (Tolima), in Colombia, is a notable avocado producer, with 36% of the national production. In this paper, two sampling methods are presented to assess natural populations of Paraleyrodes Quaintance pos. bondari attacking avocado trees of Hass and Lorena cultivars under field conditions. The presence/absence of whitefly nymph colonies on 30 leaves located at the high, medium and low strata per host plant from both cultivars was evaluated. Visual estimations were performed to count the number ofwhitefly nymphs on 1.25 cm2 of five leaves/ bud in low and medium strata per tree to evaluate the spatial distribution of whitefly population in accordance to Poisson distribution, Negative Binomial distribution and b parameter of Law of Taylor. Significant differences in percentages of infestation (P≤0.03) from leaves that belonged to the low avocado tree strata were found between the Lorena (31.88±1.2%) and Hass (15.64±1.8%) cultivars. Natural populations of P. pos. bondari were located on the abaxial leaf side, showing an aggregate distribution in avocado tree from orchards located at different altitudes. Our findings recommend entomological surveillance for Paraleyrodes sp. pos. bondari in Fresno (Tolima), sampling four branches from the medium and low avocado tree strata through inspection of five buds/branches/tree throughout each branch with the presence/absence method to count whitefly nymph colonies on the abaxial side of pre-basal leaves. In total, the sampling involved five leaves/branch (20 leaves/strata or 40 leaves/tree) on 13 avocado trees per hectare.
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Dissertations / Theses on the topic "Binomial tree"

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Sun, Xihao. "Pricing Options with Monte Carlo and Binomial Tree Methods." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/687.

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This report describes our work in pricing options using computational methods. First, I collected the historical asset prices for assets in four economic sectors to estimate model parameters, such as asset returns and covariances. Then I used these parameters to model asset prices using multiple geometric Brownian motion and simulate new asset prices. Using the generated prices, I used Monte Carlo methods and control variates to price call options. Next I used the binomial tree model to price put options, which I was introduced to in the course Math 571: Financial Mathematics I. Using the estimated put and call option prices together with some stocks, I formed a portfolio in an Interactive Brokers paper account . This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.
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Van, Wyk Ettienne. "Binomial and trinomial tree methods in derivatives pricing / Ettienne van Wyk." Thesis, North-West University, 2006. http://hdl.handle.net/10394/1269.

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Tree methods for the valuation of financial derivative securities represent a recognized and well-established pricing paradigm. It has formed part of the financial engineer's "toolbox" for close on 30 years. The tree approach is multi-dimensional though: there are for example, various ways in which trees can be parameterized. Incorporating eccentricities of the financial markets like the paying of discrete dividends and volatility skews add some further complexity to the approach. A full perspective on the place of tree methods requires knowledge of the relation between the said and other pricing paradigms like numerical integration techniques and finite difference methods. Convergence properties are of definite interest to a practitioner as well. This dissertation aims to provide a general introduction to tree methods, and well by treating on the enumerated issues.
Thesis (M.Sc. (Risk Analysis))--North-West University, Potchefstroom Campus, 2007.
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Stewart, Thomas Gordon. "Generalized Random Walks, Their Trees, and the Transformation Method of Option Pricing." Diss., CLICK HERE for online access, 2008. http://contentdm.lib.byu.edu/ETD/image/etd2608.pdf.

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Yang, Yuankai. "Pricing American and European options under the binomial tree model and its Black-Scholes limit model." Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-68264.

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We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps,  convergence of the stock prices and the option prices are obtained as N-> infinite. The obtained convergence is the Black-Scholes model and, for the particular case of European call option, the Black-Scholes formula is obtained. Furthermore, the Black-Scholes partial differential equation is obtained as a limit from the N step binomial tree model. Pricing of American put option under the Black-Scholes model is obtained as a limit from the N step binomial tree model. With this thesis, option pricing under the Black-Scholes model is achieved not by advanced stochastic analysis but by elementary, easily understandable probability computation. Results which in elementary books on finance are mentioned briefly are here derived in more details. Some important Java codes for N step binomial tree option prices are constructed by the author of the thesis.
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Lewenhaupt, Hugo. "Optimizing the Number of Time-steps Used in Option Pricing." Thesis, Linköpings universitet, Institutionen för datavetenskap, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-159648.

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Calculating the price of an option commonly uses numerical methods and can becomputationally heavy. In general, longer computations result in a more precisresult. As such, improving existing models or creating new models have been thefocus in the research field. More recently the focus has instead shifted towardcreating neural networks that can predict the price of a given option directly.This thesis instead studied how the number of time-steps parameter can beoptimized, with regard to precision of the resulting price, and then predict theoptimal number of time-steps for other options. The number of time-stepsparameter determines the computation time of one of the most common models inoption pricing, the Cox-Ross-Rubinstein model (CRR). Two different methodsfor determining the optimal number of time-steps were created and tested. Bothmodels use neural networks to learn the relationship between the input variablesand the output. The first method tried to predict the optimal number oftime-steps directly. The other method instead tried to predict the parameters ofan envelope around the oscillations of the option pricing method. It wasdiscovered that the second method improved the performance of the neuralnetworks tasked with predicting the optimal number of time-steps. It was furtherdiscovered that even though the best neural network that was found significantlyoutperformed the benchmark method, there was no significant difference incalculation times, most likely because the range of log moneyness and pricesthat were used. It was also noted that the neural network tended tounderestimate the parameter and that might not be a desirable property of asystem in charge of estimating a price in the financial sector.
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Twarog, Marek B. "Pricing security derivatives under the forward measure." Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-053007-142223/.

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Ribeiro, Lucas Vioto dos Santos. "Modelos de precificação de Opções Americanas a partir de plataformas paralelas." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/55/55137/tde-05022018-103941/.

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O objetivo desta dissertação é fornecer primeiramente o arcabouço necessário para o entendimento do derivativo opções, muito utilizado nos mercados financeiros mundiais, e posteriormente executar precificações de opções americanas a partir dos modelos dos mínimos quadrados de Monte Carlo (LSM), o modelo de árvore binomial com extrapolação de Richardson e a aproximação analítica de Bjerksund e Stensland (B&S), aplicando duas plataformas de processamento paralelo computacional, a TPL (Task Parallel Library) nativa no .NET framework 4.5 e a plataforma CUDA (Compute Unified Device Architecture), demonstrando o comparativo dos resultados obtidos a cada modelo diante de cada plataforma.
The objective of this dissertation is to provide first the necessary framework for the understanding of the derivative options, widely used in the world financial markets, and later to execute the American option pricing from Monte Carlo least squares models (LSM), the binomial tree model with Richardson extrapolation and the Bjerksund and Stensland analytic approach (BJS) by applying two parallel computational processing platforms, the native TPL (Task Parallel Library) in the .NET framework 4.5 and the CUDA platform (Compute Unified Device Architecture), demonstrating the comparison of the obtained results to each model before each platform.
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Lendacký, Peter. "Modely úrokovej miery a ocenenie úrokových opcií." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-18693.

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The interest rate dynamics is an important fundamental for valuation more complex structures of interest rate derivatives. The goal of this diploma thesis is to describe the use of models of interest rate for interest rate option pricing. The paper could be logically divided into two parts, the theoretical one and practical one. In the first part the essentials for pricing theory are introduced as risk neutrality, martingales, stochastic differential calculus, and theory of arbitrage. On their basis four basic yield curve models are derived, Vasicek model, model Cox-Ingersoll-Ross , Black-Derman-Toy and two factor Heath-Jarrow-Morton model. Second part provides the analysis of yields of U.S. Treasury bonds with different maturity. At the end CIR model and BDT binomial tree are used for valuation of option on 10 years yield.
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Coelho, Afonso Valente Ricardo de Seabra. "American options and the Black-Scholes Model." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20735.

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Mestrado em Mathematical Finance
Os problemas de apreçamento de opções têm sido um dos principais assuntos de em Matemática Financeira, desde a criação desse conceito nos anos 70. Mais especificamente, as opções americanas são de grande interesse nesta área do conhecimento porque são matematicamente muito mais complexas do que as opções europeias padrão e o modelo de Black-Scholes não fornece, na maioria dos casos, uma fórmula explícita para a determinação do preço deste tipo de opções. Nesta dissertação, mostramos como o estudo de opções americanas conduz à análise de problemas de fronteira livre devido à possibilidade de exercício antecipado, onde nosso principal objetivo é encontrar o preço de exercício ótimo. Também apresentamos a reformulação do problema em termos de um problema de complementaridade linear e de desigualdade variacional parabólica. Além disso, também abordamos a caracterização probabilística das opções americanas com base no conceito de tempos de paragem ótima. Essas formulações, aqui tratadas em termos analíticos ou probabilísticos, podem ser muito úteis na aplicação de métodos numéricos ao problema de precificação de opções do estilo americano, uma vez que, na maioria dos casos, é quase impossível encontrar soluções explícitas. Além disso, utilizamos o Método da Árvore Binomial, que é um método numérico muito simples do ponto de vista matemático, para ilustrar alguns aspectos da teoria estudada ao longo desta tese e para comparar as opções americanas com as opções europeias e bermudas, por meio de alguns exemplos numéricos.
Option pricing problems have been one of the main focuses in the field of Mathematical Finance since the creation of this concept in the 1970s. More specifically, American options are of great interest in this area of knowledge because they are much more complex mathematically than the standard European options and the Black-Scholes model cannot give an explicit formula to value this style options in most cases. In this dissertation, we show how pricing American options leads to free boundary problems because of the possibility of early exercise, where our main goal is to find the optimal exercise price. We also present how to reformulate the problem into a linear complementarity problem and a parabolic variational inequality. Moreover, we also address the probabilistic characterization of American options based on the concept of stopping times. These formulations, here viewed from the analytical and probabilistic point of view, can be very useful for applying numerical methods to the problem of pricing American style options since, in most cases, it is almost impossible to find explicit solutions. Furthermore, we use the Binomial Tree Method, which is a very simple numerical method from the mathematical point of view, to illustrate some aspects of the theory studied throughout this thesis and to compare American options with European and Bermudan Options, by means of a few numerical examples.
info:eu-repo/semantics/publishedVersion
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Bock, Alona Verfasser], and Ralf [Akademischer Betreuer] [Korn. "Edgeworth Expansions for Binomial Trees / Alona Bock. Betreuer: Ralf Korn." Kaiserslautern : Technische Universität Kaiserslautern, 2014. http://d-nb.info/1058104284/34.

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Books on the topic "Binomial tree"

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Benjamin, Arthur. Discrete mathematics. Chantilly, VA: The Teaching Company, 2009.

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Jr, Gerald W. Buetow, and James Sochacki. Term-Structure Models Using Binomial Trees. The Research Foundation of AIMR (CFA Institute), 2001.

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Grijalva Endara, Ana de las Mercedes, Henry Xavier Ponce Solórzano, María Elena Jiménez Heinert, William Johnny Jimenez Jimenez, Laura Leonor Valdez López, María Matilde Duque Mariño, Jeniffer Lucía Mora Loor, and María del Carmen Villacrés Cevallos. La Educación Superior: concepciones para su perfeccionamiento. Mawil Publicaciones de Ecuador, 2020, 2020. http://dx.doi.org/10.26820/978-9942-826-45-9.

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El presente libro, aborda diversos fundamentos teóricos que sustentan el trabajo docente educativo que se genera en las universidades latinoamericanas, como instituciones de educación superior avaladas para el desarrollo de una cultura general integral en los individuos de un país, a través del perfeccionamiento de los procesos sustantivos: académico, investigativo-laboral y extensionistas. Consta de tres capítulos; el primero relacionado con los retos y perspectivas que asume hoy la educación superior en Latinoamérica y el Caribe; el segundo aborda las particularidades que exhibe la pedagogía de la educación superior en sentido general y en especial en Ecuador; el tercer capítulo hace referencia al binomio educación- prevención, como relación esencial que se debe establecer entre los sujetos que intervienen en esos procesos para un efectivo desarrollo cognitivo, afectivo, comunicativo y sociocultural del individuo. Con esta obra, se aspira a proporcionar a los docentes e investigadores que laboran en instituciones de educación superior, de supuestos teóricos que contribuyan a perfeccionar la labor formativa, educativa y pedagógica que realizan; y tiene en cuenta el encargo social de las universidades latinoamericanas y del caribe, además de los nuevos enfoques que existen actualmente para su desarrollo.
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Book chapters on the topic "Binomial tree"

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Choe, Geon Ho. "The Binomial Tree Method for Option Pricing." In Universitext, 239–53. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-25589-7_14.

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Lee, Cheng-Few, John Lee, Jow-Ran Chang, and Tzu Tai. "Binomial Option Pricing Model Decision Tree Approach." In Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses, 801–34. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-38867-0_25.

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Campolieti, Giuseppe, and Roman N. Makarov. "Replication and Pricing in the Binomial Tree Model." In Financial Mathematics, 331–96. 2nd ed. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9780429503665-7.

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Arnold, Tom. "Implementing an NPV-Embedded Binomial Tree from an NPV Analysis." In A Pragmatic Guide to Real Options, 145–66. New York: Palgrave Macmillan US, 2014. http://dx.doi.org/10.1057/9781137391162_7.

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Arnold, Tom. "Applying More Real Options Analysis into an NPV-Embedded Binomial Tree." In A Pragmatic Guide to Real Options, 117–43. New York: Palgrave Macmillan US, 2014. http://dx.doi.org/10.1057/9781137391162_6.

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Skupien, Z. "From Tree Path-Factors and Doubly Exponential Sequences to a Binomial Inequality." In Topics in Combinatorics and Graph Theory, 595–603. Heidelberg: Physica-Verlag HD, 1990. http://dx.doi.org/10.1007/978-3-642-46908-4_68.

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Lee, John. "Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach." In Handbook of Quantitative Finance and Risk Management, 617–36. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-0-387-77117-5_42.

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Mishra, Rahul, Dharavath Ramesh, Damodar Reddy Edla, and Manoj Kumar Sah. "Binary Binomial Tree Based Secure and Efficient Electronic Healthcare Record Storage in Cloud Environment." In Innovations for Community Services, 173–86. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-37484-6_10.

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Lee, John C. "Binomial OPM, Black–Scholes OPM, and Their Relationship: Decision Tree and Microsoft Excel Approach." In Handbook of Financial Econometrics and Statistics, 1025–59. New York, NY: Springer New York, 2014. http://dx.doi.org/10.1007/978-1-4614-7750-1_37.

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Li, Yamin, Shietung Peng, and Wanming Chu. "Binomial-Tree Fault Tolerant Routing in Dual-Cubes with Large Number of Faulty Nodes." In Computational and Information Science, 51–56. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-540-30497-5_9.

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Conference papers on the topic "Binomial tree"

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Ming, Zeng, Tian Kuo, and Yan Fan. "Transmission investment decision analysis using fuzzy binomial tree." In 2010 Seventh International Conference on Fuzzy Systems and Knowledge Discovery (FSKD). IEEE, 2010. http://dx.doi.org/10.1109/fskd.2010.5569190.

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Wu, Qin, and Ru-xiang Wei. "Research of military software pricing based on binomial tree method." In 2010 3rd IEEE International Conference on Computer Science and Information Technology (ICCSIT 2010). IEEE, 2010. http://dx.doi.org/10.1109/iccsit.2010.5564676.

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Yuan, Quan, Baojun Bian, and Guiqiu Yuan. "Binomial Tree Method for American Options in a Regime Switching Model." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2312.

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Targiel, Krzysztof S. "Dynamic programming in the binomial tree structures for real options analysis." In 2015 6th International Conference on Modeling, Simulation, and Applied Optimization (ICMSAO). IEEE, 2015. http://dx.doi.org/10.1109/icmsao.2015.7152225.

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Wu, Qin, Min Wu, and Yunzhou Sun. "Analysis of software pricing based on binomial tree option pricing model." In 2020 International Conference on Information Science, Parallel and Distributed Systems (ISPDS). IEEE, 2020. http://dx.doi.org/10.1109/ispds51347.2020.00066.

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Lye, Koh Hock, Teh Su Yean, and Kew Lee Ming. "Modified Binomial Tree and Market Efficiency: The Case for KLCI and LTCM." In 2009 Sixth International Conference on Fuzzy Systems and Knowledge Discovery. IEEE, 2009. http://dx.doi.org/10.1109/fskd.2009.760.

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Wang, Jin-feng, Yan An, Li-jie Feng, and Xin Wang. "Analysis on coal mine investment decision based on binomial tree pricing model." In EM2010). IEEE, 2010. http://dx.doi.org/10.1109/icieem.2010.5646405.

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Zhao, Xu. "Investment Evaluation of Land Expropriation Based on the Fuzzy Binomial Tree Model." In 2014 International Conference on Construction and Real Estate Management. Reston, VA: American Society of Civil Engineers, 2014. http://dx.doi.org/10.1061/9780784413777.181.

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Tavakkolnia, Amin. "A binomial tree valuation approach for compound real options with fuzzy phase-specific volatility." In 2016 12th International Conference on Industrial Engineering (ICIE). IEEE, 2016. http://dx.doi.org/10.1109/induseng.2016.7519351.

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Ning, Zhe, Yan Wang, and Yingli Huang. "European Option Binomial Tree Method in the Carbon Trading Exchange on the Condition "Carbon Finance"." In 2011 Asia-Pacific Power and Energy Engineering Conference (APPEEC). IEEE, 2011. http://dx.doi.org/10.1109/appeec.2011.5749040.

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