Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
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References listed on IDEAS
- Windcliff, H. & Forsyth, P.A. & Vetzal, K.R., 2006. "Pricing methods and hedging strategies for volatility derivatives," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 409-431, February.
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- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bowei Chen & Jun Wang, 2014. "A lattice framework for pricing display advertisement options with the stochastic volatility underlying model," Papers 1409.0697, arXiv.org, revised Dec 2015.
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KeywordsLattice; volatility smile; option pricing;
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