Option pricing using a binomial model with random time steps (A formal model of gamma hedging) (Q375247)
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scientific article; zbMATH DE number 6220645
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| English | Option pricing using a binomial model with random time steps (A formal model of gamma hedging) |
scientific article; zbMATH DE number 6220645 |
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Option pricing using a binomial model with random time steps (A formal model of gamma hedging) (English)
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29 October 2013
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options
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gamma hedging
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Black-Scholes model
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binomial model
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implicit volatility
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Poisson process
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0.7621084451675415
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0.75583815574646
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0.7497099041938782
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