Johnson binomial trees

DOI10.1080/14697680902950821MaRDI QIDQ5300442zbMATH OpenOpenAlexFDO

Authors Jean-Guy Simonato

Publication date 27 June 2013

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://zenodo.org/record/896295

zbMATH Keywords

GARCHkurtosisskewnessjump diffusionAmerican optionJohnson distributionEdgeworth binomial tree

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
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• Option valuation with infinitely divisible distributions

Cites work

• American option pricing under GARCH by a Markov chain approximation
• Empirical martingale simulation for asset prices
• Option pricing when underlying stock returns are discontinuous
• THE GARCH OPTION PRICING MODEL
• The Valuation of Path Dependent Contracts on the Average

Cited in

(2)

• HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
• Randomized binomial tree and pricing of American-style options

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