Concept

Binomial options pricing model

Related publications (77)

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An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfol ...

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Daniel Kressner, Robert Gerhard Jérôme Luce, Francesco Statti

We study the problem of computing the matrix exponential of a block triangular matrix in a peculiar way: Block column by block column, from left to right. The need for such an evaluation scheme arises naturally in the context of option pricing in polynomia ...

MATHICSE2017

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The computation of the matrix exponential is a ubiquitous operation in numerical mathematics, and for a general, unstructured n×n matrix it can be computed in O(n3) operations. An interesting problem arises if the input matrix is a Toeplitz matrix, for exa ...

MATHICSE2016

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To meet the CO2 reduction targets and ensure sustainable energy supply, the development and deploy- ment of cost-competitive innovative low-carbon energy technologies is essential. To design and evaluate the competitiveness of such complex integrated energ ...

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EPFL2015

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