LECCADITO, ARTURO; TOSCANO, PIETRO; TUNARU, RADU S. - In: International Journal of Theoretical and Applied … 15 (2012) 08, pp. 1250058-1
Edgeworth binomial trees were applied to price contingent claims when the underlying return distribution is skewed and leptokurtic, but with the limitation of working only for a limited set of skewness and kurtosis values. Recently, Johnson binomial trees were introduced to accommodate any...