A recombining lattice option pricing model that relaxes the assumption of lognormality

DOI10.1007/s11147-010-9060-3zbMath1230.91178OpenAlexW2021295148MaRDI QIDQ660165

Dasheng Ji, B. Wade Brorsen

Publication date: 26 January 2012

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

Full work available at URL: https://doi.org/10.1007/s11147-010-9060-3

zbMATH Keywords

option pricingGaussian quadraturebinomial trees

Mathematics Subject Classification ID

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

Related Items (2)

A copula-based approach for generating lattices ⋮ HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING

Cites Work

• The Pricing of Options and Corporate Liabilities
• A universal lattice
• Tests for normal mixtures based on the empirical characteristic function
• Indirect estimation of \(\alpha \)-stable stochastic volatility models
• Gaussian cubature: a practitioner's guide
• Discrete Approximations of Probability Distributions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes

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