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European call option
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generalized hyperbolic distribution
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minimal entropy martingale measure
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On skewed, leptokurtic returns and
pentanomial
lattice
option valuation via minimal entropy martingale measure
Mwaniki, Ivivi J.
- In:
Cogent Economics & Finance
5
(
2017
)
1
,
pp. 1-16
pentanomial
lattice
is constructed using a moment matching procedure. Moment generating functions of generalized hyperbolic …
Persistent link: https://www.econbiz.de/10011988781
Saved in:
2
On skewed, leptokurtic returns and
pentanomial
lattice
option valuation via minimal entropy martingale measure
Mwaniki, Ivivi Joseph
- In:
Cogent economics & finance
5
(
2017
)
1
,
pp. 1-16
pentanomial
lattice
is constructed using a moment matching procedure. Moment generating functions of generalized hyperbolic …
Persistent link: https://www.econbiz.de/10011883226
Saved in:
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