Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis (Q2136947)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis |
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Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis (English)
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16 May 2022
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Jarrow-Rudd binomial option pricing
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skew random walk
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Cherny-Shiryaev-Yor invariance principle
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hedging transaction cost
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