Properties of multinomial lattices with cumulants for option pricing and hedging (Q853859)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Properties of multinomial lattices with cumulants for option pricing and hedging |
scientific article; zbMATH DE number 5073756
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Properties of multinomial lattices with cumulants for option pricing and hedging |
scientific article; zbMATH DE number 5073756 |
Statements
Properties of multinomial lattices with cumulants for option pricing and hedging (English)
0 references
17 November 2006
0 references
multinomial lattice
0 references
cumulants
0 references
excess kurtosis and skewness
0 references
compound Poisson process
0 references
volatility smile
0 references
0 references
0 references
0 references
0.89165866
0 references
0.8834733
0 references
0.88343775
0 references
0.88200986
0 references
0.88020164
0 references
0 references
