Binomial option pricing with nonidentically distributed returns and its implications

DOI10.1016/S0895-7177(99)00097-7zbMath0990.91021MaRDI QIDQ1596873

N. Schumacher

Publication date: 5 May 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes modelpricing optionsstock price processbinomial returns

Mathematics Subject Classification ID

Applications of statistics (62P99) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The Poisson binomial distribution -- old \& new

Cites Work

• The Pricing of Options and Corporate Liabilities
• Arbitrage theory. Introductory lectures on arbitrage-based financial asset pricing
• Modeling asset returns with alternative stable distributions^*
• Option pricing: A simplified approach
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