✦ LIBER ✦

Binomial Option Pricing with Skewed Asset Returns

✍ Scribed by R. Johnson; JAMES Pawlukiewicz; JAYESH Mehta

Book ID: 110261264
Publisher: Springer US
Year: 1997
Tongue: English
Weight: 109 KB
Volume: 9
Category: Article
ISSN: 0924-865X
DOI: 10.1023/a:1008283011490

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Option pricing when asset returns jump i

Option pricing when asset returns jump interruptedly

✍ Daniel Wei-Chung Miao; Steve Hsin-Ting Yu 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 787 KB

Implementing option pricing models when

Implementing option pricing models when asset returns follow an autoregressive moving average process

✍ Chou-Wen Wang; Chin-Wen Wu; Shyh-Weir Tzang 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 335 KB

On option pricing in binomial market wit

On option pricing in binomial market with transaction costs

✍ Alexander V. Melnikov; Yury G. Petrachenko 📂 Article 📅 2005 🏛 Springer-Verlag 🌐 English ⚖ 146 KB

Binomial option pricing with stochastic

Binomial option pricing with stochastic parameters: A beta distribution approach

✍ Jack C. Lee; Cheng F. Lee; K. C. John Wei 📂 Article 📅 1991 🏛 Springer US 🌐 English ⚖ 491 KB

Option valuation with co-integrated asse

Option valuation with co-integrated asset prices

✍ Jin-Chuan Duan; Stanley R. Pliska 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 403 KB

This paper investigates theoretical and practical aspects of options that are based upon two or more assets which are co-integrated. For this purpose, a new, discrete-time model of asset prices is developed, a model featuring both the co-integration property as well as stochastic volatilities. Using

A non-Gaussian option pricing model with

A non-Gaussian option pricing model with skew

✍ Borland, Lisa; Bouchaud, Jean-Philippe 📂 Article 📅 2007 🏛 Taylor and Francis Group 🌐 English ⚖ 115 KB