Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Withers, Christopher S. & Nadarajah, Saralees, 2014. "Cumulants of multinomial and negative multinomial distributions," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 18-26.
- Nicola Cantarutti & Jo~ao Guerra, 2016. "Multinomial method for option pricing under Variance Gamma," Papers 1701.00112, arXiv.org, revised Feb 2018.
More about this item
Keywordsmultinomial lattice; cumulants; excess kurtosis and skewness; compound poisson process; volatility smile;
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