Modeling and pricing with a random walk in random environment
2020 ◽
Vol 07
(04)
◽
pp. 2050053
Keyword(s):
We propose a parsimonious model for financial pricing that incorporates the existence of a random environment; such construction can be though as an extension of the Cox–Ross–Rubinstein (CRR) model. Our model is motivated from the Sinai random walk, but we mention the difficulty of applying such model if we try to use it with the CRR procedure. As it was done with Sinai’s walk, we provide a method to connect the most visited sites of the model with the minimum points of a function of the environment. We present some simulations and a numerical experiment to bring a new perspective.
2010 ◽
Vol 150
(1-2)
◽
pp. 61-75
◽
2014 ◽
Vol 25
(4)
◽
pp. 785-799
◽
2005 ◽
Vol 10
(0)
◽
pp. 36-44
◽
1994 ◽
pp. 21-75
◽
Keyword(s):
2019 ◽
Vol 63
(3)
◽
pp. 339-350
◽
2018 ◽
Vol 54
(1)
◽
pp. 363-384
2004 ◽
Vol 130
(3)
◽
pp. 377-387
◽
1986 ◽
Vol 138
(1-2)
◽
pp. 299-309
◽