Properties of multinomial lattices with cumulants for option pricing and hedging
type: Item
instance of: scholarly article
title: Properties of multinomial lattices with cumulants for option pricing and hedging
zbMATH Open document ID: 1154.91488
author: Yuji Yamada
author: James A. Primbs
published in: Asia-Pacific Financial Markets
publication date: 2006-11-17T00:00:00Z
full work available at URL: APFM 11-3.pdf
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5073756
zbMATH Keywords: multinomial lattice
zbMATH Keywords: cumulants
zbMATH Keywords: excess kurtosis and skewness
zbMATH Keywords: compound Poisson process
zbMATH Keywords: volatility smile
MaRDI profile type: Publication
OpenAlex ID: W2043342569
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DOI: 10.1007/S10690-005-9005-2
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description: scientific article; zbMATH DE number 5073756