Properties of multinomial lattices with cumulants for option pricing and hedging

DOI10.1007/s10690-005-9005-2zbMath1154.91488OpenAlexW2043342569MaRDI QIDQ853859

Yuji Yamada, James A. Primbs

Publication date: 17 November 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://tsukuba.repo.nii.ac.jp/record/41143/files/APFM_11-3.pdf

zbMATH Keywords

cumulantscompound Poisson processvolatility smileexcess kurtosis and skewnessmultinomial lattice

Mathematics Subject Classification ID

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

Related Items (7)

Multinomial method for option pricing under Variance Gamma ⋮ Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis ⋮ Dynamic conic hedging for competitiveness ⋮ Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices ⋮ Cumulants of multinomial and negative multinomial distributions ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Mean-variance hedging in continuous time
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• Time Changes for Lévy Processes
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• On Minimizing Risk in Incomplete Markets Option Pricing Models
• On Quadratic Cost Criteria for Option Hedging
• Variance-Optimal Hedging in Discrete Time
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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