On the option pricing for a generalization of the binomial model

DOI10.1007/BF02674086MaRDI QIDQ1586594zbMATH OpenOpenAlexFDO

Authors D. E. Kascheev

Publication date 13 August 2003

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02674086

zbMATH Keywords

option pricingstock pricesEuropean call optionhedging strategy

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 796439 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Option pricing: A simplified approach
• The pricing of options and corporate liabilities

Cited in

(20)

• Limit value of price of European call option in binomial model
• Binomial option pricing with nonidentically distributed returns and its implications
• Nonconvergence in the Variation of the Hedging Strategy of a European Call Option
• scientific article; zbMATH DE number 1724301 (Why is no real title available?)
• A study of a type of exotic options in the presence of inflow and outflow of capital in the binomial model of the financial \((B, S)\)-market
• Variations of the Cox-Ross-Rubinstein model -- conservative pricing strategies
• Option pricing: a yet simpler approach
• scientific article; zbMATH DE number 5909250 (Why is no real title available?)
• On one problem of European option pricing
• Generalization of an integral option
• On the practical point of view of option pricing
• On option pricing models in the presence of heavy tails
• Binomial options pricing has no closed-form solution
• scientific article; zbMATH DE number 796442 (Why is no real title available?)
• The random-time binomial model
• Security price modelling by a binomial tree
• Option valuation by a self-exciting threshold binomial model
• On a generalized Cox-Ross-Rubinstein option market model
• Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
• Option pricing: examples and open problems

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