Option pricing using a binomial model with random time steps (A formal model of gamma hedging)

DOI10.1007/BF01531595zbMath1274.91409MaRDI QIDQ375247

Heike Dengler, Robert A. Jarrow

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

optionsBlack-Scholes modelPoisson processbinomial modelgamma hedgingimplicit volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Asset price bubbles, wealth preserving, dominating, and replicating trading strategies ⋮ Risk-neutral compatibility with option prices ⋮ Exercisability Randomization of the American Option ⋮ The random-time binomial model ⋮ Pricing catastrophe options in discrete operational time ⋮ A Mathematical Theory of Financial Bubbles

Cites Work

• Weak convergence of the variations, iterated integrals and Doléans-Dade exponentials of sequences of semimartingales
• Martingales and stochastic integrals in the theory of continuous trading
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
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