scientific article; zbMATH DE number 897224

zbMATH Open0849.90013MaRDI QIDQ4884622FDOQ4884622

Authors: Rajeeva L. Karandikar, Svetlozar T. Rachev 

Publication date: 4 September 1996

Title of this publication is not available (Why is that?)

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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)

Cited In (13)

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• Binomial option pricing with nonidentically distributed returns and its implications
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
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• Optimization of stock trading with additional information by limit order book
• Non-ideal Brownian motion, generalized Langevin equation and its application to the security market
• A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
• Subordination, self-similarity, and option pricing
• Maximum likelihood estimation of stable Paretian models.
• Properties of multinomial lattices with cumulants for option pricing and hedging
• Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
• On the option pricing for a generalization of the binomial model
• Generalized multinomial CRR option pricing model and its Black-Scholes type limit.

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