Some possible stock price distributions under incompleteness of the market
type: Item
instance of: scholarly article
title: Some possible stock price distributions under incompleteness of the market
zbMATH Open document ID: 1087.91023
DOI: 10.1016/S0895-7177(03)90067-7
published in: Mathematical and Computer Modelling
publication date: 2004-08-06T00:00:00Z
review text: This paper analyses a trinomial version of the classical binomial model of Cox-Ross-Rubinstein. It considers a general structure for the transitions and studies the possible limits when the time steps tend to zero. It gives conditions for those transitions that result in a (log)-normal, (log)-Poisson or mixed distribution for the stock.
reviewed by: J. L. Fernández
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B26
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 2082404
zbMATH Keywords: financial mathematics
zbMATH Keywords: binomial model
zbMATH Keywords: pricing
zbMATH Keywords: hedging
author: József Gáll
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 2082404