Option pricing under a normal mixture distribution derived from the Markov tree model
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Publication:2253395
DOI10.1016/j.ejor.2012.07.003zbMath1292.91173OpenAlexW2005115413MaRDI QIDQ2253395
Publication date: 27 July 2014
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.07.003
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Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis ⋮ Pricing exotic derivatives exploiting structure ⋮ Multi-criteria classification for pricing European options ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ Pricing options based on trinomial Markov tree ⋮ Pricing and risk management of interest rate swaps
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