A recombining lattice option pricing model that relaxes the assumption of lognormality
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 14 (2011)
Issue (Month): 3 (October)
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Web page: http://www.springerlink.com/link.asp?id=102989
Binomial trees; Gaussian quadrature; Option pricing; C58; G13; Q14;
Find related papers by JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
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