scientific article; zbMATH DE number 897224

MaRDI QIDQ4884622zbMATHFDO

Authors Rajeeva L. Karandikar, Svetlozar T. Rachev

Publication date 4 September 1996

zbMATH Keywords

surveycall valuationdiscrete- and continuous-time option pricinggeneralized binomial model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic growth models (91B62)

Recommendations

• scientific article; zbMATH DE number 549090
• A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
• On the option pricing for a generalization of the binomial model
• Generalized multinomial CRR option pricing model and its Black-Scholes type limit.

Cited in

(14)

• Non-ideal Brownian motion, generalized Langevin equation and its application to the security market
• scientific article; zbMATH DE number 796442 (Why is no real title available?)
• On the option pricing for a generalization of the binomial model
• scientific article; zbMATH DE number 549090 (Why is no real title available?)
• Option valuation with infinitely divisible distributions
• A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
• Optimization of stock trading with additional information by limit order book
• Properties of multinomial lattices with cumulants for option pricing and hedging
• Subordination, self-similarity, and option pricing
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• Maximum likelihood estimation of stable Paretian models.
• Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
• Binomial option pricing with nonidentically distributed returns and its implications
• Generalized multinomial CRR option pricing model and its Black-Scholes type limit.

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4884622)