This work is an extension of the classical Cox-Ross-Rubinstein
discrete time market model in which only one risky asset is
considered. We introduce another risky asset into the model.
Moreover, the random structure of the asset price sequence is
generated by bivariate finite state Markov chain. Then, the
interest rate varies over time as it is the function of generating
sequences. We discuss how the model can be adapted to the real
data. Finally, we illustrate sample implementations to give a
better idea about the use of the model.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/1257898/index.pdf |
| Date | 01 January 2004 |
| Creators | Yildirak, Sahap Kasirga |
| Contributors | Gaygisiz, Esma |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | Ph.D. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for public access |
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