HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING

DOI10.1142/S0219024912500586zbMath1260.91237OpenAlexW2083178482MaRDI QIDQ4909144

Pietro Toscano, Arturo Leccadito, Radu S. Tunaru

Publication date: 12 March 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500586

zbMATH Keywords

option pricingHermite expansionbinomial treesskewness and kurtosis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Pricing and hedging basket options with exact moment matching, Randomized binomial tree and pricing of American-style options, A tree approach to options pricing under regime-switching jump diffusion models

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