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DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS - MaRDI portal

DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS (Q3022067)

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DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
scientific article

    Statements

    title
    DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS (English)
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    author
    Yuji Yamada
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    James A. Primbs
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    publication date
    22 June 2005
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    zbMATH Keywords
    incomplete markets
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    lattice models
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    minimum mean square hedges
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    dynamic programming
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    network flow optimization
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91G20
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    90C39
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    zbMATH DE Number
    2177840
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