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Option pricing in a lognormal securities market with discrete trading: A comment

✍ Scribed by David Brown; Chi-fu Huang

Book ID
116126590
Publisher
Elsevier Science
Year
1983
Tongue
English
Weight
72 KB
Volume
12
Category
Article
ISSN
0304-405X

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

094026 (E50) Introduction to option pric
094026 (E50) Introduction to option pricing in a securities market β€” II: Poisson approximation : Dzhaparidze K., CWI Quarterly, Volume 10, No. 1, 1997, pp. 65–100
πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 84 KB

In this part of the lecture notes on securities trading we aim at the limiting transition from a binary market of part I towards the Poisson market described in Section 4. The conditions for this are formulated in Section 3, and the results in Section 5. The Poisson model describes the situation whe