Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion
Year of publication: |
August 2016
|
---|---|
Authors: | Kim, Young Shin ; Stoyanov, Stoyan V. ; Račev, Svetlozar T. ; Fabozzi, Frank J. |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 145.2016, p. 225-229
|
Subject: | Binomial tree model | Option pricing | Geometric Brownian motion | Partial hedging | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
-
Pricings and hedgings of the perpetual Russian options
Li, Weiping, (2014)
-
Gao, Min, (2020)
-
On hedge parameters of currency options
Choi, Youngna, (2022)
- More ...
-
Option pricing in markets with informed traders
Hu, Yuan, (2020)
-
Enhancing binomial and trinomial equity option pricing models
Kim, Young Shin, (2019)
-
Another look at the Ho-Lee bond option pricing model
Kim, Young Shin, (2018)
- More ...