Alternative Methods to Derive Option Pricing Models: Review and Comparison

DOI10.1142/9789811202391_0102zbMath1451.91200OpenAlexW3085886630MaRDI QIDQ5139540

Cheng-Few Lee, Yibing Chen, John C. Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0102

zbMATH Keywords

stochastic calculusBlack-Scholes option pricing modelbinomial option pricing modellognormal distribution method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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