Statements (24)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
|
| gptkbp:assumes |
discrete time
two possible outcomes per step |
| gptkbp:category |
gptkb:stochastic_process
discrete-time model |
| gptkbp:describes |
price evolution
|
| gptkbp:developedBy |
gptkb:John_Cox
gptkb:Stephen_Ross gptkb:Mark_Rubinstein |
| https://www.w3.org/2000/01/rdf-schema#label |
binomial model
|
| gptkbp:introducedIn |
1979
|
| gptkbp:relatedTo |
gptkb:Black-Scholes_model
|
| gptkbp:requires |
risk-free rate
down factor probability of down move probability of up move up factor |
| gptkbp:usedFor |
risk-neutral valuation
derivative valuation |
| gptkbp:usedIn |
finance
option pricing |
| gptkbp:bfsParent |
gptkb:American_option_pricing_models
gptkb:European_call_option |
| gptkbp:bfsLayer |
7
|