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The Random-Time Binomial Model

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  • Dietmar P. J. Leisen

    (CREST Timbre J319)

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  • Dietmar P. J. Leisen, "undated". "The Random-Time Binomial Model," Computing in Economics and Finance 1997 82, Society for Computational Economics.
    • Handle: RePEc:sce:scecf7:82
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    Cited by:

    1. Luca Barzanti & Corrado Corradi & Martina Nardon, 2006. "On the efficient application of the repeated Richardson extrapolation technique to option pricing," Working Papers 147, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    2. Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeLi, 2010. "Pricing catastrophe options with stochastic claim arrival intensity in claim time," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 24-32, January.
    3. Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeiLi, 2008. "Pricing catastrophe options in discrete operational time," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 422-430, December.

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