Option pricing using a binomial model with random time steps (a formal model of gamma hedging)
Heike Dengler ; Robert A. Jarrow
| Year of publication: |
1997
|
|---|---|
| Authors: | Dengler, Heike |
| Other Persons: | Jarrow, Robert A. (contributor) |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 1.1996, 2, p. 107-138
|
| Subject: | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Theorie | Theory |
| 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/10001218120