Notes

Notes on quantitative finance, stochastic calculus, probability.

Pricing on Trees

Within this chapter we explicitly show the equivalence of replicating, hedging or using a risk-neutral approach to price options on a binomial tree. A Mathematica implementation of binomial and trinomial tree will be added soon, with discussion on convergence issues.

2 thoughts on “Notes

  1. Pingback: Pricing on Trees notes | From Higgs Physics to Quantitative Finance

  2. Pingback: Sampling from Cauchy (and Gaussian) distribution | From Higgs Physics to Quantitative Finance

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