An autoregressive conditional binomial option pricing model.

MaRDI QIDQ2782362zbMATH OpenFDO

Authors J. L. Prigent, O. Renault, Olivier Scaillet

Publication date 2002

zbMATH Keywords

binomial pricing modelbinomial treedeltasoption pricespricing methodologystock pricetrading behaviour

Mathematics Subject Classification ID

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

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Cited in

(5)

• Evaluating financial time series models for irregularly spaced data: a spectral density approach
• Nonparametric specification tests for conditional duration models
• A family of autoregressive conditional duration models
• Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
• A new marked point process model for the federal funds rate target: methodology and forecast evaluation

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