This article generalizes the seminal Cox-Ross- binomial option pricing model to all members of the class of transformed-binomial pricing processes. The investigation addresses issues related with asset pricing modeling, hedging strategies, and option pricing. Formulas are derived for (a) replicatin
β¦ LIBER β¦
On the option pricing for a generalization of the binomial model
β Scribed by D. E. Kascheev
- Book ID
- 110612648
- Publisher
- Springer US
- Year
- 2000
- Tongue
- English
- Weight
- 316 KB
- Volume
- 99
- Category
- Article
- ISSN
- 1573-8795
No coin nor oath required. For personal study only.
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The objective of this article is to provide an axiomatic framework in order to define the concept of value function for risky operations for which there is no market. There is a market for assets, whose prices are characterized as stochastic processes. The method consists of constructing a portfolio