A recombining lattice option pricing model that relaxes the assumption of lognormality
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Publication:660165
DOI10.1007/S11147-010-9060-3zbMATH Open1230.91178OpenAlexW2021295148MaRDI QIDQ660165FDOQ660165
Authors: Dasheng Ji, B. Wade Brorsen 
Publication date: 26 January 2012
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-010-9060-3
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39)
Cites Work
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
- A universal lattice
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- Gaussian cubature: a practitioner's guide
- Discrete Approximations of Probability Distributions
- Tests for normal mixtures based on the empirical characteristic function
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
Cited In (5)
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