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发帖数: 179 | 1 Consider an n-step binomial model. Let Sn denote the number of
stopping rules. we don't consider the situation when the stopping time is
infinity(never exercise). Therefore if it's a 3-step model, the stopping
time is in the set of (0,1,2,3)
We know that s0 = 1, s1 = 2, s2 = 5.
for example,in 2-step model.
1. s(HH)=s(HT)=s(TH)=S(TT) = 0
2. s(HH)=s(HT)= 1, s(TH)=S(TT) = 1
3. s(HH)=s(HT)= 1, s(TH)=S(TT) = 2
4. s(HH)=s(HT)= 2, s(TH)=S(TT) = 1
5. s(HH)=s(HT)= 2, s(TH)=S(TT) = 2
(i) Determine a recur |
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