HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING

DOI10.1142/S0219024912500586zbMath1260.91237MaRDI QIDQ4909144

Pietro Toscano, Arturo Leccadito, Radu S. Tunaru

Publication date: 12 March 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500586

zbMATH Keywords

option pricing; Hermite expansion; binomial trees; skewness and kurtosis

Mathematics Subject Classification ID

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

Related Items

Pricing and hedging basket options with exact moment matching, Randomized binomial tree and pricing of American-style options, A tree approach to options pricing under regime-switching jump diffusion models

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