Stochastic modelling in financeand Monte Carlo simulations with R. Part B:Cox-Ross-Rubinstein model

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Stochastic modelling in financeand Monte Carlo simulations with R. Part B:Cox-Ross-Rubinstein model
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                        MAO XuerongMAO Xuerong
Department of Mathematics and Statistics, University of Strathclyde, Glasgow, G1 1XT, Scotland, UK
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LI XiaoyueLI Xiaoyue
School of Mathematics and Statistics, Northeast Normal University, Changchun 130024
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Abstract:

The key aim of this serial articles is to study various stochastic models in finance with emphasis on the Monte Carlo simulations with R for these models.This paper studies the Cox-Ross-Rubinstein (CRR) model and the generalized CRR model.Moreover,this paper discusses how to perform Monte Carlo simulations on the asset price and to obtain the approximate values of options.

Key words:the CRR model;Monte Carlo simulations;option value;binomial distribution

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MAO Xuerong, LI Xiaoyue. Stochastic modelling in financeand Monte Carlo simulations with R. Part B:Cox-Ross-Rubinstein model[J]. Journal of Nanjing University of Information Science & Technology,2015,7(2):125-132

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Received:September 13,2014
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Online: April 23,2015
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