HS300 stock index option pricing with transaction costs and Poisson process

DOI10.3969/J.ISSN.1000-2375.2018.04.002MaRDI QIDQ4624436zbMATH OpenFDO

Authors Fangling Ren, P. Xue

Publication date 22 February 2019

Full work available at URL https://doi.org/10.3969/J.ISSN.1000-2375.2018.04.002

zbMATH Keywords

binomial tree modelstock index optiontriple tree model

Mathematics Subject Classification ID

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

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