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

DOI10.1007/BF01531595MaRDI QIDQ375247zbMATH OpenFDO

Authors Heike Dengler, Robert A. Jarrow

Publication date 29 October 2013

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

zbMATH Keywords

optionsPoisson processBlack-Scholes modelbinomial modelgamma hedgingimplicit volatility

Mathematics Subject Classification ID

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

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• scientific article; zbMATH DE number 3539473 (Why is no real title available?)
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Martingales and stochastic integrals in the theory of continuous trading
• Weak convergence of the variations, iterated integrals and Doléans-Dade exponentials of sequences of semimartingales

Cited in

(7)

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• Pricing catastrophe options in discrete operational time
• Asset price bubbles, wealth preserving, dominating, and replicating trading strategies
• The random-time binomial model
• A mathematical theory of financial bubbles
• Exercisability Randomization of the American Option

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