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Journal articles on the topic 'Binomial tree'

Author: Grafiati

Published: 4 June 2021

Last updated: 8 February 2022

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1

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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2

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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3

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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4

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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5

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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7

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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8

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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9

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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10

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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11

Keren, Srđan. "Modeling Tree Species Count Data in the Understory and Canopy Layer of Two Mixed Old-Growth Forests in the Dinaric Region." Forests 11, no. 5 (May 9, 2020): 531. http://dx.doi.org/10.3390/f11050531.

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The distribution of tree species has traditionally been analyzed based on tree diameter (DBH) as a continuous variable. However, this approach does not usually provide information on how species are distributed across the area of interest. In this study, an inverse approach was applied to investigate tree distribution patterns in two Dinaric old-growth forest stands composed primarily of European beech, silver fir, and Norway spruce. Specifically, the variance-to-mean relationship of tree counts based on 80 plots (40 in each old-growth stand) were evaluated by using a dispersion index. Understory trees exhibited clumped and random patterns, whereas canopy trees were mostly distributed in a random manner. A regular pattern was only determined for beech and all trees in the canopy layer (two cases out of ten). The observed discrete variables were further compared with three theoretical distributions. It was found that a Poisson, binomial, and negative binomial model best fitted the observed count data, which, based on the dispersion index, exhibited a random, regular, and clumped pattern, respectively. The frequency of plots with low species presence and complete absence of species was also revealed. Consequently, the analysis and modeling of tree counts can be of practical use for species conservation purposes.

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12

SARI, I. GUSTI AYU MITA ERMIA, KOMANG DHARMAWAN, and TJOKORDA BAGUS OKA. "PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKA." E-Jurnal Matematika 5, no. 4 (November 30, 2016): 156. http://dx.doi.org/10.24843/mtk.2016.v05.i04.p135.

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Binomial tree is a method that can be used to determine price option contracts. In this method, the stock price movement is presented in the form of a tree with each branch representing the probability of the stock price to move up or move down. The purpose of this paper was to determine the price of the options contracts with the American type on Binomial Tree method and compare the three methods that is variance matching, proportional , and risk neutral of determining the value of price option contracts used in Binomial Tree method with Black-Schole method. The result of this research was the value of the options contract using the variance matching more similar with the value of the Black-Scholes contract.

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13

Gerbessiotis, Alexandros V. "Architecture independent parallel binomial tree option price valuations." Parallel Computing 30, no. 2 (February 2004): 301–16. http://dx.doi.org/10.1016/j.parco.2003.09.003.

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14

Milanov, Krasimir, Ognyan Kounchev, Frank J. Fabozzi, Young Shin Kim, and Svetlozar T. Rachev. "A Binomial-Tree Model for Convertible Bond Pricing." Journal of Fixed Income 22, no. 3 (December 31, 2012): 79–94. http://dx.doi.org/10.3905/jfi.2012.22.3.079.

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15

Bayram, Kamola, and Nasir Ganikhodjaev. "On pricing futures options on random binomial tree." Journal of Physics: Conference Series 435 (April 26, 2013): 012043. http://dx.doi.org/10.1088/1742-6596/435/1/012043.

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16

Zhang, Xiongqing, Yuancai Lei, Daoxiong Cai, and Fengqiang Liu. "Predicting tree recruitment with negative binomial mixture models." Forest Ecology and Management 270 (April 2012): 209–15. http://dx.doi.org/10.1016/j.foreco.2012.01.028.

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17

Zhao, Dexian, Zhenkai Sun, Cheng Wang, Zezhou Hao, Baoqiang Sun, Qin Zuo, Wenjun Duan, et al. "Using Count Data Models to Predict Epiphytic Bryophyte Recruitment in Schima superba Gardn. et Champ. Plantations in Urban Forests." Forests 11, no. 2 (February 5, 2020): 174. http://dx.doi.org/10.3390/f11020174.

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Epiphytic bryophytes are known to perform essential ecosystem functions, but their sensitivity to environmental quality and change makes their survival and development vulnerable to global changes, especially habitat loss in urban environments. Fortunately, extensive urban tree planting programs worldwide have had a positive effect on the colonization and development of epiphytic bryophytes. However, how epiphytic bryophytes occur and grow on planted trees remain poorly known, especially in urban environments. In the present study, we surveyed the distribution of epiphytic bryophytes on tree trunks in a Schima superba Gardn. et Champ. urban plantation and then developed count data models, including tree characteristics, stand characteristics, human disturbance, terrain factors, and microclimate to predict the drivers on epiphytic bryophyte recruitment. Different counting models (Poisson, Negative binomial, Zero-inflated Poisson, Zero-inflated negative binomial, Hurdle-Poisson, Hurdle-negative binomial) were compared for a data analysis to account for the zero-inflated data structure. Our results show that (i) the shaded side and base of tree trunks were the preferred locations for bryophytes to colonize in urban plantations, (ii) both hurdle models performed well in modeling epiphytic bryophyte recruitment, and (iii) both hurdle models showed that the tree height, diameter at breast height (DBH), leaf area index (LAI), and altitude (ALT) promoted the occurrence of epiphytic bryophytes, but the height under branch and interference intensity of human activities opposed the occurrence of epiphytic bryophytes. Specifically, DBH and LAI had positive effects on the species richness recruitment count; similarly, DBH and ALT had positive effects on the abundance recruitment count, but slope had a negative effect. To promote the occurrence and growth of epiphytic bryophytes in urban tree planting programs, we suggest that managers regulate suitable habitats by cultivating and protecting large trees, promoting canopy closure, and controlling human disturbance.

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18

ASTUTI, NI MADE NITA, KOMANG DHARMAWAN, and TJOKORDA BAGUS OKA. "PENERAPAN STATIC HEDGE DALAM PENGELOLAAN RISIKO PADA OPSI TIPE BARRIER." E-Jurnal Matematika 7, no. 4 (December 1, 2018): 357. http://dx.doi.org/10.24843/mtk.2018.v07.i04.p225.

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The barrier option is an option whose payoff depends on whether the underlying asset touches the barrier or not during the lifetime of the option. The determination of the barrier option requires a numerical approach, one of which is the Binomial Tree model. The purpose of this study is to determine barrier option type down and out call on a static hedging using the Binomial Tree model and compare it with the analytic value. The results show that the increases in strike price would decrease the option value. Moreover, values from 80 periods using the Binomial Tree model for the four strike prices are close to analytic with error less than or equal to 0.00182.

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19

ZHUO, XIAOYANG, and OLIVIER MENOUKEU-PAMEN. "EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT." International Journal of Theoretical and Applied Finance 20, no. 04 (May 24, 2017): 1750028. http://dx.doi.org/10.1142/s0219024917500285.

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In this paper, we explore two new tree lattice methods, the piecewise binomial tree and the piecewise trinomial tree for both the bond prices and European/American bond option prices assuming that the short rate is given by a generalized skew Vasicek model with discontinuous drift coefficient. These methods build nonuniform jump size piecewise binomial/trinomial tree based on a tractable piecewise process, which is derived from the original process according to a transform. Numerical experiments of bonds and European/American bond options show that our approaches are efficient as well as reveal several price features of our model.

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20

MELIYANI, R., E. H. NUGRAHANI, and D. C. LESMANA. "PENENTUAN HARGA OPSI CALL WINDOW RESET MENGGUNAKAN METODE BINOMIAL TREE DAN TRINOMIAL TREE." Journal of Mathematics and Its Applications 15, no. 2 (December 1, 2016): 23. http://dx.doi.org/10.29244/jmap.15.2.23-34.

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Opsi window reset merupakan salah satu jenis opsi yang bersifat path- dependent sehingga nilai opsi tersebut tidak mempunyai rumus eksak. Oleh karena itu, dibutuhkan metode numerik untuk menentukan nilainya. Penelitian ini membahas tentang penentuan harga opsi call window reset dengan menggunakan salah satu metode numerik. Jenis metode numerik tersebut, yakni metode tree yang terdiri dari binomial tree dan trinomial tree. Jika harga saham semakin kecil dan menyentuh reset strike, harga strike akan di-reset ke harga yang baru sehingga nilai opsi pun menjadi semakin meningkat. Sebaliknya jika harga saham tidak menyentuh reset strike maka harga strike tidak akan berubah sampai masa jatuh tempo opsi. Setelah dilakukan simulasi numerik, harga opsi call window reset cenderung sama pada kedua metode tree tersebut dan harga opsi call window reset cenderung lebih tinggi dibandingkan dengan harga opsi call Eropa standar.

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21

Wang, Tianyang, and James S. Dyer. "Valuing Multifactor Real Options Using an Implied Binomial Tree." Decision Analysis 7, no. 2 (June 2010): 185–95. http://dx.doi.org/10.1287/deca.1100.0174.

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22

Dai, Min. "A Modified Binomial Tree Method for Currency Lookback Options." Acta Mathematica Sinica 16, no. 3 (July 2000): 445–54. http://dx.doi.org/10.1007/s101140000068.

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23

Walsh, John B. "The rate of convergence of the binomial tree scheme." Finance and Stochastics 7, no. 3 (July 1, 2003): 337–61. http://dx.doi.org/10.1007/s007800200094.

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24

Muroi, Yoshifumi, and Takashi Yamada. "Spectral binomial tree: New algorithms for pricing barrier options." Journal of Computational and Applied Mathematics 249 (September 2013): 107–19. http://dx.doi.org/10.1016/j.cam.2012.10.036.

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25

Dai, Min. "A Modified Binomial Tree Method for Currency Lookback Options." Acta Mathematica Sinica, English Series 16, no. 3 (July 2000): 445–54. http://dx.doi.org/10.1007/pl00011553.

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26

Korhonen, Lauri, Christian Salas, Torgrim Østgård, Vegard Lien, Terje Gobakken, and Erik Næsset. "Predicting the occurrence of large-diameter trees using airborne laser scanning." Canadian Journal of Forest Research 46, no. 4 (April 2016): 461–69. http://dx.doi.org/10.1139/cjfr-2015-0384.

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Large-diameter trees are important for both ecological and economic reasons, but they have become increasingly rare. Thus, there is an interest in easily locating such trees, and for this purpose, the use of airborne laser scanning (ALS) seems suitable. Our objective was to assess the accuracy of area-based ALS estimation in predicting the number of large-diameter Scots pines (Pinus sylvestris L.). A sample of 856 trees with a diameter >35 cm were measured from 1109 sample plots located in eastern Norway. We fitted negative binomial and zero-inflated negative binomial models for predicting large-diameter tree counts. ALS-derived and external variables were used as predictors when fitting the models. The accuracy was assessed based on the weighted kappa coefficient and cross validation. Our best model was based on three ALS height distribution variables, one horizontal ALS variable, and plot elevation. Its overall accuracy was 65.8% and the weighted kappa was 0.55. Although there was a clear relationship between the response and the proposed predictor variables, fairly large errors in the predicted large-diameter tree counts were common.

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27

Chang, Carolyn W., and Jack S. K. Chang. "Doubly-Binomial Option Pricing with Application to Insurance Derivatives." Review of Pacific Basin Financial Markets and Policies 08, no. 03 (September 2005): 501–23. http://dx.doi.org/10.1142/s0219091505000439.

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We generalize the standard lattice approach of Cox, Ross, and Rubinstein (1976) from a fixed sum to a random sum in a subordinated process framework to accommodate pricing of derivatives with random-sum characteristics. The asset price change now is determined by two independent Bernoulli trials on information arrival/non-arrival and price up/down, respectively. The subordination leads to a nonstationary trinomial tree in calendar-time, while a time change to information-time restores the simpler binomial tree that now grows with the intensity of information arrival irrespective of the passage of calendar-time. We apply the model to price the CBOT catastrophe futures call spreads as a binomial sum of binomial prices, which illuminates the information conveyed by the randomness of catastrophe arrival. Numerical results demonstrate that the standard binomial formula that ignores random claim arrival produces largest undervaluation error for out-of-money short-maturity options when a small number of significant catastrophes may strike during the option's maturity.

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28

Elliott, Robert J., Tak Kuen Siu, and Samuel N. Cohen. "Backward stochastic difference equations for dynamic convex risk measures on a binomial tree." Journal of Applied Probability 52, no. 03 (September 2015): 771–85. http://dx.doi.org/10.1017/s0021900200113427.

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Using backward stochastic difference equations (BSDEs), this paper studies dynamic convex risk measures for risky positions in a simple discrete-time, binomial tree model. A relationship between BSDEs and dynamic convex risk measures is developed using nonlinear expectations. The time consistency of dynamic convex risk measures is discussed in the binomial tree framework. A relationship between prices and risks is also established. Two particular cases of dynamic convex risk measures, namely risk measures with stochastic distortions and entropic risk measures, and their mathematical properties are discussed.

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29

Elliott, Robert J., Tak Kuen Siu, and Samuel N. Cohen. "Backward stochastic difference equations for dynamic convex risk measures on a binomial tree." Journal of Applied Probability 52, no. 3 (September 2015): 771–85. http://dx.doi.org/10.1239/jap/1445543845.

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Using backward stochastic difference equations (BSDEs), this paper studies dynamic convex risk measures for risky positions in a simple discrete-time, binomial tree model. A relationship between BSDEs and dynamic convex risk measures is developed using nonlinear expectations. The time consistency of dynamic convex risk measures is discussed in the binomial tree framework. A relationship between prices and risks is also established. Two particular cases of dynamic convex risk measures, namely risk measures with stochastic distortions and entropic risk measures, and their mathematical properties are discussed.

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30

Gong, Wenxiu, Zuoliang Xu, and Qinghua Ma. "Entropy binomial tree method and calibration for the volatility smile." Inverse Problems in Science and Engineering 28, no. 11 (April 23, 2020): 1591–608. http://dx.doi.org/10.1080/17415977.2020.1742120.

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31

Ho, Kim Hin David, and Shea Jean Tay. "REIT market efficiency through a binomial option pricing tree approach." Journal of Property Investment & Finance 34, no. 5 (August 1, 2016): 496–520. http://dx.doi.org/10.1108/jpif-01-2016-0004.

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Purpose – The purpose of this paper is to examine the risk neutral and non-risk neutral pricing of Singapore Real Estate Investment Trusts (S-REITs) via comparing the average of the individual ratios (of deviation between expected and observed closing price/observed closing price) with the ratio (of standard deviation/mean) for closing prices via the binomial options pricing tree model. Design/methodology/approach – If the ratio (of standard deviation/mean) ratio > the ratio (of deviation between expected and observed closing price/observed closing price), then the deviation of closing prices from the expected risk neutral prices is not significant and that the S-REIT is consistent with risk neutral pricing. If the ratio (of deviation between expected and observed closing price/observed closing price) is greater, then the S-REIT is not consistent with risk neutral pricing. Findings – Capitacommercial Trust (CCT), Capitamall Trust (CMT) and Keppel Real Estate Investment Trust (REIT) have large positive differences between the two ratios (39.86, 30.79 and 18.96 percent, respectively), implying that these S-REITs are not trading at risk neutral pricing. Suntec REIT has a small positive difference of 2.35 percent between both ratios, implying that it is trading at risk neutral pricing. Ascendas REIT has the largest negative difference between the two ratios at −4.24 percent, to be followed by Mapletree Logistics Trust at −0.44 percent. Both S-REITs are trading at risk neutral pricing. The analysis shows that CCT, CMT and Keppel REIT exhibit risk averse pricing. Research limitations/implications – Results are consistent with prudential asset allocation for viable S-REIT portfolio investing but that not all these S-REITs exhibit strong market efficiency in their pricing. Practical implications – Pricing may be risk neutral over a certain period but investor sentiments, fear of risks and speculative activities could affect an S-REIT’s risk neutrality. Social implications – With enhanced risk diversification activities, the S-REITs should attain risk neutral pricing. Originality/value – Virtually no research of this nature has been undertaken for S-REITS.

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Peng, Bin, and Fei Peng. "Pricing arithmetic asian options under the cev process." Cuadernos de difusión 15, no. 29 (December 30, 2010): 7–13. http://dx.doi.org/10.46631/jefas.2010.v15n29.01.

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This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price arithmetic Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems arising from the inherent complexities of arithmetic Asian options when the stock price follows CEV process. We present numerical results to demonstrate the validity and the convergence of the approach for the different parameter values set in CEV process.

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33

Istiqomah, Istiqomah, and Abdul Azis. "Analisis metode binomial dipercepat pada perhitungan harga opsi Eropa." CAUCHY 3, no. 2 (May 10, 2014): 108. http://dx.doi.org/10.18860/ca.v3i2.2581.

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Model umum yang digunakan dalam perhitungan harga opsi Eropa adalah model Black Scholes. Kemudian ditemukan suatu metode baru yang merupakan aproksimasi dari model Black Scholes yaitu metode Binomial. Akan tetapi, perhitungan harga opsi Eropa menggunakan metode Binomial membutuhkan partisi waktu yang banyak untuk bisa mendekati model kontinu Black Scholes. Untuk mempercepat kekonvergenan aproksimasi harga opsi Eropa maka digunakan pengembangan dari model Binomial yaitu Binomial Dipercepat. Langkah yang dilakukan dalam metode Binomial Dipercepat adalah melakukan pemulusan kurva harga opsi yang disebut dengan Middle of Tree (MOT). Sebelum melakukan pemulusan kurva tersebut yang dilakukan terlebih dahulu adalah memisahkan partisi waktu yang digunakan yaitu partisi waktu ganjil dan genap. Asumsi yang digunakan pada MOT adalah dengan meletakkan harga ketentuan di tengah pohon binomial pada saat jatuh tempo. Dari asumsi tersebut didapatkan parameter u dan p yang akan digunakan dalam pemulusan kurva MOT. Dengan menggunakan parameter MOT tersebut diperoleh hasil dari harga opsi Eropa yang bisa mendekati harga kekonvergenan Black Scholes dengan partisi yang lebih sedikit dibandingkan dengan menggunakan metode Binomial

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Campbell, E. J. F., and D. McC Newbery. "Ecological relationships between lianas and trees in lowland rain forest in Sabah, East Malaysia." Journal of Tropical Ecology 9, no. 4 (November 1993): 469–90. http://dx.doi.org/10.1017/s0266467400007549.

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ABSTRACTNumbers of lianas ≥2 cm gbh were recorded on trees ≥30 cm gbh in two 4 ha plots of dipterocarp forest. Associations between lianas and trees of the 12 commonest families and 16 commonest species were analysed. Liana density was 882 ha-1. Fifty-seven per cent of trees supported lianas and the mean number lianas per tree was 2.1. Lianas were highly aggregated on individual trees in most families; numbers of lianas per tree followed the negative binomial distribution for the Dipterocarpaceae but not Euphorbiaceae. Dipterocarpaceae and Euphorbiaceae differed in susceptibility, with 41 and 64% of their trees respectively supporting lianas. The proportions of trees with lianas (i.e. % trees laden) were correlated between plots at the species, but not the family, level. They were not related to tree girth; differences in proportions between families and species were maintained for trees in the 30–40 cm gbh class. At the species level, proportions of trees with lianas and the mean number of lianas per tree were significantly inversely correlated with mean branch-free bole height of trees in the 30–40 cm gbh class. Increased branch-free bole height and associated branch shedding may therefore decrease the susceptibility of trees to lianas and explain the lower susceptibility in the Dipterocarpaceae than the Euphorbiaceae.

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35

Miller, G. E. "DISTRIBUTION OF CONTARINIA OREGONENSIS FOOTE (DIPTERA: CECIDOMYIIDAE) EGGS IN DOUGLAS-FIR SEED ORCHARDS AND A METHOD OF ESTIMATING EGG DENSITY." Canadian Entomologist 118, no. 12 (December 1986): 1291–95. http://dx.doi.org/10.4039/ent1181291-12.

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AbstractEfficient sampling procedures for estimating densities of eggs of Douglas-fir cone gall midge (DFCGM), Contarinia oregonensis Foote, on individual trees as well as for orchards were developed from data collected in Douglas-fir seed orchards in 1978–1981. Egg distribution was contagious and generally fitted the negative binomial distribution on individual trees, but a common k could not be estimated. Tree and crown level affected density of midge eggs within orchards. Average density at the midpoint of the cone-bearing portion of the crown was not significantly different from the tree average. The optimum sampling pattern in an orchard, i.e. one conelet from the midpoint of the cone-bearing portion of each of 120 trees, would require 120 person-hours to process the samples when DFCGM egg densities are high (worst-case situation).

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MUTHURAMKUMAR, S., and N. PARTHASARATHY. "Tree-liana relationships in a tropical evergreen forest at Varagalaiar, Anamalais, Western Ghats, India." Journal of Tropical Ecology 17, no. 3 (April 26, 2001): 395–409. http://dx.doi.org/10.1017/s0266467401001274.

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In a 30-ha permanent plot of tropical evergreen forest at Varagalaiar, Indian Western Ghats, all trees ≥ 30 cm girth at breast height (gbh) were examined for the presence of lianas ≥ 1 cm dbh. The plot contained 13 445 trees in 152 species and 11 200 lianas in 75 species. Twenty-eight per cent of trees supported lianas and the mean number of lianas per tree was 0.38 ± 0.72. Association analysis between lianas and trees of 16 tree families and 20 abundant tree species indicated that tree susceptibility to lianas was better pronounced at species rather than at family level. Overall, at Varagalaiar site, the aggregation of lianas followed neither Poisson nor clumped distribution. Among the four dominant tree families Dipterocarpaceae and Clusiaceae fit to the negative binomial model better than Euphorbiaceae and Meliaceae. These four families differed in their susceptibility level with 34.6% , 36.7% , 24.1% and 27.7% of trees ≥ 30 cm gbh respectively supporting lianas. At the species level, the proportion of trees with lianas was positively correlated with the mean branch free bole height of trees ≥ 30-40 and ≥ 40 cm gbh classes, and the mean number of lianas per tree was also positively correlated with the mean branch bole height of trees ≥ 30 cm gbh. Of the 16 abundant families, Euphorbiaceae contributed 31% and dominated the lower canopy, but its susceptibility to lianas was lower when compared to most other families.

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You, Lan Tao. "Embedding of Binomial Trees in Locally Twisted Cubes with Link Faults." Advanced Materials Research 1049-1050 (October 2014): 1736–40. http://dx.doi.org/10.4028/www.scientific.net/amr.1049-1050.1736.

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As a newly introduced interconnection network for parallel computing, the locally twisted cube possesses many desirable properties. In this paper, binomial tree embeddings in locally twisted cubes are studied. We present two major results in this paper: (1) For any integern≥ 2, ann-dimensional binomial treeBncan be embedded inLTQnwith dilation 1 by randomly choosing any vertex inLTQnas the root. (2) For any integern≥ 2, ann-dimensional binomial treeBncan be embedded inLTQnwith up ton− 1 faulty links inlog(n− 1) steps where dilation = 1. The results are optimal in the sense that the dilations of all embeddings are 1.

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Baltazár, Tivadar, Miloš Pejchal, and Ildikó Varga. "Evaluation of European mistletoe (Viscum album L.) infection in the Castle Park in Lednice." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 61, no. 6 (2013): 1565–74. http://dx.doi.org/10.11118/actaun201361061565.

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This experiment focused on the evaluation of mistletoe infection (Viscum albumL.) in main sections of the castle park in Lednice. The study evaluates the proportion of affected and unaffected individuals of host taxa and the intensity of their infestation. ForAcer campestreandTilia cordataone-way ANOVA was used to detect the difference among the number of mistletoe bushes and tree age, development stage, vitality and location. For the modelling of mistletoe infection probability also the dependence on these and other continuous explanatory variables (height and crown volume) was used for logistic regression with binomial distribution. Our results show that number of mistletoe on trees within same taxa increases with the tree age and with the lower tree vitality, but there is large difference between the hosts. Due to the results of logistic regression, the same factors also have strong impact on the probability of mistletoe infection, e.g. tree age and tree vitality. In this case no large differences were found between the hosts.

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Borovkova, S. A., F. J. Permana, and J. A. M. van der Weide. "American Basket and Spread Option Pricing by a Simple Binomial Tree." Journal of Derivatives 19, no. 4 (May 31, 2012): 29–38. http://dx.doi.org/10.3905/jod.2012.19.4.029.

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Ghafarian, Bahareh, Payam Hanafizadeh, and Amir Hossein Mortazavi Qahi. "Applying Greek letters to robust option price modeling by binomial-tree." Physica A: Statistical Mechanics and its Applications 503 (August 2018): 632–39. http://dx.doi.org/10.1016/j.physa.2018.03.006.

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Xu, Cheng-long, Xiao-song Qian, and Li-shang Jiang. "Numerical analysis on binomial tree methods for a jump-diffusion model." Journal of Computational and Applied Mathematics 156, no. 1 (July 2003): 23–45. http://dx.doi.org/10.1016/s0377-0427(02)00903-2.

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Barrière, L., F. Comellas, C. Dalfó, and M. A. Fiol. "On the hierarchical product of graphs and the generalized binomial tree." Linear and Multilinear Algebra 57, no. 7 (October 2009): 695–712. http://dx.doi.org/10.1080/03081080802305381.

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Liu, Qiang, and Shuxin Guo. "Canonical Distribution, Implied Binomial Tree, and the Pricing of American Options." Journal of Futures Markets 33, no. 2 (October 24, 2011): 183–98. http://dx.doi.org/10.1002/fut.20555.

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H.S, Annapurna, and Siddappa M. "Binomial Tree based Key Establishment Schemes for Heterogeneous Wireless Sensor Networks." International Journal of Engineering and Technology 10, no. 6 (December 31, 2018): 1731–43. http://dx.doi.org/10.21817/ijet/2018/v10i6/181006050.

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Jiang, Lishang, and Min Dai. "Convergence of Binomial Tree Methods for European/American Path-Dependent Options." SIAM Journal on Numerical Analysis 42, no. 3 (January 2004): 1094–109. http://dx.doi.org/10.1137/s0036142902414220.

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Putri, Endah R. M., Muhammad S. Zamani, and Daryono B. Utomo. "Binomial tree method for pricing a regime-switching volatility stock loans." Journal of Physics: Conference Series 974 (March 2018): 012045. http://dx.doi.org/10.1088/1742-6596/974/1/012045.

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Muroi, Yoshifumi, and Shintaro Suda. "Discrete Malliavin calculus and computations of greeks in the binomial tree." European Journal of Operational Research 231, no. 2 (December 2013): 349–61. http://dx.doi.org/10.1016/j.ejor.2013.05.038.

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Lin, Jianwei, and Jin Liang. "Pricing of perpetual American and Bermudan options by binomial tree method." Frontiers of Mathematics in China 2, no. 2 (June 2007): 243–56. http://dx.doi.org/10.1007/s11464-007-0017-2.

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CHEBILA, Mourad, and Fares INNAL. "Dependability Measures Estimation Using Binomial Failure Rate Model." Algerian Journal of Signals and Systems 2, no. 4 (December 15, 2017): 199–206. http://dx.doi.org/10.51485/ajss.v2i4.45.

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Dependability of multi-component systems is highly impacted by common cause failures, what necessitates the appropriate consideration of such events in the dependability modeling process. This paper is dedicated to study the application of the binomial failure rate model in handling the contribution of common cause failures to estimate two key dependability indicators, namely: unavailability and unconditional failure intensity, using fault tree analysis with the probabilistic treatment of the associated parameter uncertainty. The results of such application are thoroughly compared to those of the traditional Beta factor model to highlight the possible differences.

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BENNIES, JÜRGEN, and JIM PITMAN. "Asymptotics of the Hurwitz Binomial Distribution Related to Mixed Poisson Galton–Watson Trees." Combinatorics, Probability and Computing 10, no. 3 (May 2001): 203–11. http://dx.doi.org/10.1017/s0963548301004643.

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Hurwitz's extension of Abel's binomial theorem defines a probability distribution on the set of integers from 0 to n. This is the distribution of the number of non-root vertices of a fringe subtree of a suitably defined random tree with n + 2 vertices. The asymptotic behaviour of this distribution is described in a limiting regime in which the fringe subtree converges in distribution to a Galton–Watson tree with a mixed Poisson offspring distribution.

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