Properties of multinomial lattices with cumulants for option pricing and hedging (Q853859)
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scientific article; zbMATH DE number 5073756
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| English | Properties of multinomial lattices with cumulants for option pricing and hedging |
scientific article; zbMATH DE number 5073756 |
Statements
Properties of multinomial lattices with cumulants for option pricing and hedging (English)
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17 November 2006
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multinomial lattice
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cumulants
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excess kurtosis and skewness
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compound Poisson process
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volatility smile
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0.89165866
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0.8834733
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0.88343775
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0.88200986
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0.88020164
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