Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev, Abootaleb Shirvani, Frank J. Fabozzi
| Year of publication: |
2022
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|---|---|
| Authors: | Hu, Yuan ; Lindquist, W. Brent ; Račev, Svetlozar T. ; Shirvani, Abootaleb ; Fabozzi, Frank J. |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 137.2022, p. 1-20
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| Subject: | Cherny-Shiryaev-Yor invariance principle | Hedging transaction cost | Jarrow-Rudd binomial option pricing | Skew random walk | Optionspreistheorie | Option pricing theory | Hedging | Transaktionskosten | Transaction costs | Statistische Verteilung | Statistical distribution | Random Walk | Random walk | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Derivat | Derivative |