Binomial tree method for option pricing: Discrete cosine transform approach

The Discrete Binomial Model for Option Pricing

This paper introduces the notion of option pricing in the context of financial markets. The discrete time, one-period binomial model is explored and generalized to the multi-period binomial model. The multi-period model is then redeveloped using the sophisticated tools of martingale theory. The paper concludes with a brief extension of the results to continuous time, giving a heuristic derivati...

JPEG Encoder using Discrete Cosine Transform & Inverse Discrete Cosine Transform

In the past decade, the advancement in data communications was significant during explosive growth of the Internet, which led to the demand for using multimedia in portable devices. Video and Audio data streams require a huge amount of bandwidth to be transferred in an uncompressed form. The objective of this paper is to minimize the number of bits required to represent an image and also the ac...

The Binomial Option Pricing Model

The simplest model for pricing d erivative securities is the binomial model. It generalizes the o n e period \up-down" model of Chapte r 1 t o a m ulti-period setting, assuming t hat t he price of the u nderlying asset follows a random walk. In the binomial model, there are N trading periods and N+1 trading d ates, t 0 t 1 ::: t N when it is possible to i n vest in a risky security with p r i c...

Discrete Cosine Transform

On discrete cosine transform

The discrete cosine transform (DCT), introduced by Ahmed, Natarajan and Rao, has been used in many applications of digital signal processing, data compression and information hiding. There are four types of the discrete cosine transform. In simulating the discrete cosine transform, we propose a generalized discrete cosine transform with three parameters, and prove its orthogonality for some new...