Assessment and propagation of input uncertainty in tree-based option pricing models

Gzyl, Henryk, Molina, German, ter Horst, Enrique . Applied Stochastic Models in Business and Industry 2009. 25 (3) :275-308

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Bibtex

@article{CIS-236345,
  Author = {Gzyl, Henryk and Molina, German and ter Horst, Enrique},
  Title = {Assessment and propagation of input uncertainty in tree-based option pricing models},
  Journal = {Applied Stochastic Models in Business and Industry},
  Volume = {25},
  Number = {3},
  Year = {2009},
  Pages = {275--308},
  Keywords = {Mixture models, Bayesian statistics, Markov chain Monte Carlo, Metropolis-Hastings, uncertainty propagation, Cox-Ross-Rubinstein model}
}

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