DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS

DOI10.1142/S0219024902001572zbMath1107.91348MaRDI QIDQ3022067

James A. Primbs, Yuji Yamada

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

dynamic programminglattice modelsincomplete marketsnetwork flow optimizationminimum mean square hedges

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Option pricing and hedging with minimum local expected shortfall

Cites Work

• The Pricing of Options and Corporate Liabilities
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• On Minimizing Risk in Incomplete Markets Option Pricing Models
• On Quadratic Cost Criteria for Option Hedging
• Back to basics: historical option pricing revisited
• Variance-Optimal Hedging in Discrete Time
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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