A recombining lattice option pricing model that relaxes the assumption of lognormality
Dasheng Ji; B. Wade Brorsen
| Year of publication: |
2011
|
|---|---|
| Authors: | Ji, Dasheng ; Brorsen, Wade |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 14.2011, 3, p. 349-367
|
| Subject: | Binomial trees | Gaussian quadrature | Option pricing | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009349984