Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion

DOI10.1016/j.econlet.2016.05.035zbMath1400.91654arXiv1612.01979MaRDI QIDQ1670205

Peng Zhang

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.01979

zbMATH Keywords

option pricing; geometric Brownian motion; partial hedging; binomial tree model

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)