Some possible stock price distributions under incompleteness of the market (Q596973): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Removed claim: author (P16): Item:Q1042583
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / author
 
Property / author: József Gáll / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing: A simplified approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4845600 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4350437 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5829358 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4131338 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4284032 / rank
 
Normal rank

Latest revision as of 17:57, 6 June 2024

scientific article
Language Label Description Also known as
English
Some possible stock price distributions under incompleteness of the market
scientific article

    Statements

    Some possible stock price distributions under incompleteness of the market (English)
    0 references
    6 August 2004
    0 references
    This paper analyses a trinomial version of the classical binomial model of Cox-Ross-Rubinstein. It considers a general structure for the transitions and studies the possible limits when the time steps tend to zero. It gives conditions for those transitions that result in a (log)-normal, (log)-Poisson or mixed distribution for the stock.
    0 references
    financial mathematics
    0 references
    binomial model
    0 references
    pricing
    0 references
    hedging
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references