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Efficient Discrete Time Jump Process Models in Option Pricing

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  • Omberg, Edward

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  • Omberg, Edward, 1988. "Efficient Discrete Time Jump Process Models in Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(02), pages 161-174, June.
  • Handle: RePEc:cup:jfinqa:v:23:y:1988:i:02:p:161-174_01
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    References listed on IDEAS

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    1. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-799, September.
    2. Livingston, Miles B & Jain, Suresh K, 1982. " Flattening of Bond Yield Curves for Long Maturities," Journal of Finance, American Finance Association, vol. 37(1), pages 157-167, March.
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    Cited by:

    1. Leisen, D. P. J. & M. Reimer, 1995. "Binomial Models for Option Valuation - Examining and Improving Convergence," Discussion Paper Serie B 309, University of Bonn, Germany.
    2. San-Lin Chung & Pai-Ta Shih, 2007. "Generalized Cox-Ross-Rubinstein Binomial Models," Management Science, INFORMS, pages 508-520.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    4. Tianyang Wang & James Dyer & Warren Hahn, 2015. "A copula-based approach for generating lattices," Review of Derivatives Research, Springer, pages 263-289.
    5. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.

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