On the option pricing for a generalization of the binomial model

DOI10.1007/BF02674086zbMATH Open1016.91037OpenAlexW2017149990MaRDI QIDQ1586594FDOQ1586594

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

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zbMATH Keywords

option pricingstock pricesEuropean call optionhedging strategy

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Option pricing: A simplified approach
• Title not available (Why is that?)

Cited In (17)

• Limit value of price of European call option in binomial model
• Nonconvergence in the Variation of the Hedging Strategy of a European Call Option
• Binomial option pricing with nonidentically distributed returns and its implications
• Title not available (Why is that?)
• 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
• On one problem of European option pricing
• Title not available (Why is that?)
• On option pricing models in the presence of heavy tails
• Generalization of an integral option
• Binomial options pricing has no closed-form solution
• Title not available (Why is that?)
• 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

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