Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis

DOI10.1016/j.jedc.2022.104345zbMath1489.91264arXiv2106.09128OpenAlexW3171690115MaRDI QIDQ2136947

Yuan Hu, W. Brent Lindquist, Abootaleb Shirvani, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date: 16 May 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.09128

zbMATH Keywords

Cherny-Shiryaev-Yor invariance principlehedging transaction costJarrow-Rudd binomial option pricingskew random walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20)

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