Book contents
- Frontmatter
- Contents
- Preface
- Part I Introduction
- Part II Single-Period Models
- Part III Multi-Period Models
- 12 Multi-Period Models: Simple Examples
- 13 Dynamic Programming: Theory and Algorithms
- 14 Dynamic Programming Models: Multi-Period Portfolio Optimization
- 15 Dynamic Programming Models: the Binomial Pricing Model
- 16 Multi-Stage Stochastic Programming
- 17 Stochastic Programming Models: Asset–Liability Management
- Part IV Other Optimization Techniques
- Appendices
- References
- Index
15 - Dynamic Programming Models: the Binomial Pricing Model
from Part III - Multi-Period Models
Published online by Cambridge University Press: 27 July 2018
Book contents
- Frontmatter
- Contents
- Preface
- Part I Introduction
- Part II Single-Period Models
- Part III Multi-Period Models
- 12 Multi-Period Models: Simple Examples
- 13 Dynamic Programming: Theory and Algorithms
- 14 Dynamic Programming Models: Multi-Period Portfolio Optimization
- 15 Dynamic Programming Models: the Binomial Pricing Model
- 16 Multi-Stage Stochastic Programming
- 17 Stochastic Programming Models: Asset–Liability Management
- Part IV Other Optimization Techniques
- Appendices
- References
- Index
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- Optimization Methods in Finance , pp. 238 - 247Publisher: Cambridge University PressPrint publication year: 2018