Option pricing under a normal mixture distribution derived from the Markov tree model

DOI10.1016/J.EJOR.2012.07.003MaRDI QIDQ2253395zbMATH OpenOpenAlexFDO

Authors Harish S. Bhat, Nitesh Kumar

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

zbMATH Keywords

asymptotic analysisempirical testingfinancemixture modelsoptions pricing

Mathematics Subject Classification ID

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

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Cited in

(10)

• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
• Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
• Pricing options based on trinomial Markov tree
• Pricing and risk management of interest rate swaps
• Multi-criteria classification for pricing European options
• Pricing exotic derivatives exploiting structure
• scientific article; zbMATH DE number 6129284 (Why is no real title available?)
• Markov tree options pricing
• Unlocking the black box: non-parametric option pricing before and during COVID-19
• Finite mixture models for option pricing: an application to Bitcoin options

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