Johnson binomial trees

DOI10.1080/14697680902950821zbMath1266.91110OpenAlexW2101215386MaRDI QIDQ5300442

Jean-Guy Simonato

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://zenodo.org/record/896295

zbMATH Keywords

kurtosisGARCHskewnessAmerican optionjump diffusionJohnson distributionEdgeworth binomial tree

Mathematics Subject Classification ID

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

Related Items (2)

Randomized binomial tree and pricing of American-style options ⋮ HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING

Cites Work

• Empirical Martingale Simulation for Asset Prices
• THE GARCH OPTION PRICING MODEL
• The Valuation of Path Dependent Contracts on the Average
• Option pricing when underlying stock returns are discontinuous
• American option pricing under GARCH by a Markov chain approximation

This page was built for publication: Johnson binomial trees