A q -binomial extension of the CRR asset pricing model
DOI10.1080/15326349.2023.2173231zbMath1530.91563arXiv2104.10163OpenAlexW3153679976MaRDI QIDQ6092930
Nicolas Privault, Youssef El-Khatib, Jun Fan, Jean-Christophe Breton
Publication date: 23 November 2023
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.10163
weak convergenceoption pricingcontinuous-time limit\(q\)-binomial coefficientsCRR modeldefault with logistic failure rateKemp random walk
Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20)
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