Option pricing using a binomial model with random time steps (A formal model of gamma hedging)

DOI10.1007/BF01531595zbMATH Open1274.91409MaRDI QIDQ375247FDOQ375247

Authors: Heike Dengler, Robert A. Jarrow 

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

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zbMATH Keywords

optionsPoisson processBlack-Scholes modelbinomial modelgamma hedgingimplicit volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Martingales and stochastic integrals in the theory of continuous trading
• Title not available (Why is that?)
• Weak convergence of the variations, iterated integrals and Doléans-Dade exponentials of sequences of semimartingales

Cited In (7)

• Title not available (Why is that?)
• Pricing catastrophe options in discrete operational time
• Exercisability Randomization of the American Option
• The random-time binomial model
• A mathematical theory of financial bubbles
• Risk-neutral compatibility with option prices
• Asset price bubbles, wealth preserving, dominating, and replicating trading strategies

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