Enhancing binomial and trinomial equity option pricing models
Young Shin Kim, Stoyan Stoyanov, Svetlozar Rachev, Frank J. Fabozzi
| Year of publication: |
2019
|
|---|---|
| Authors: | Kim, Young Shin ; Stoyanov, Stoyan V. ; Račev, Svetlozar T. ; Fabozzi, Frank J. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 28.2019, p. 185-190
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| Subject: | Cox-Ross-Rubinstein binomial model | geometric Brownian motion | Itô price process | Poisson process | trinomial model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2018.04.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012388304