A recombining lattice option pricing model that relaxes the assumption of lognormality
From MaRDI portal
(Redirected from Publication:660165)
Recommendations
- Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
- scientific article; zbMATH DE number 1500698
- Option pricing based on a log-skew-normal mixture
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- A universal lattice
- Discrete Approximations of Probability Distributions
- Gaussian cubature: a practitioner's guide
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
- Tests for normal mixtures based on the empirical characteristic function
- The pricing of options and corporate liabilities
Cited in
(5)- A copula-based approach for generating lattices
- scientific article; zbMATH DE number 1500698 (Why is no real title available?)
- HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
- DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
- Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
This page was built for publication: A recombining lattice option pricing model that relaxes the assumption of lognormality
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q660165)
