scientific article; zbMATH DE number 1406736

MaRDI QIDQ4940649zbMATH OpenFDO

Authors Kacha Dzhaparidze

Publication date 24 February 2000

zbMATH Keywords

binomial modelgeometric Brownian motionoption pricingPoisson limit

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

Cited in

(6)

• scientific article; zbMATH DE number 5852050 (Why is no real title available?)
• scientific article; zbMATH DE number 1234543 (Why is no real title available?)
• scientific article; zbMATH DE number 1234546 (Why is no real title available?)
• scientific article; zbMATH DE number 1343007 (Why is no real title available?)
• A simple derivation of risk-neutral probability in the binomial option pricing model
• Asymptotic proportion of arbitrage points in fractional binary markets

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