Binomial option pricing with nonidentically distributed returns and its implications

DOI10.1016/S0895-7177(99)00097-7zbMATH Open0990.91021MaRDI QIDQ1596873FDOQ1596873

Authors: N. Schumacher 

Publication date: 5 May 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

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zbMATH Keywords

Black-Scholes modelpricing optionsstock price processbinomial returns

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics (62P99)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Modeling asset returns with alternative stable distributions^*
• Title not available (Why is that?)
• Option pricing: A simplified approach
• Title not available (Why is that?)
• Arbitrage theory. Introductory lectures on arbitrage-based financial asset pricing

Cited In (2)

• Title not available (Why is that?)
• The Poisson binomial distribution -- old \& new

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