Johnson binomial trees
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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.
- Marcellino Gaudenzi & Alice Spangaro & Patrizia Stucchi, 2017. "Efficient European and American option pricing under a jump-diffusion process," Papers 1712.08137, arXiv.org.
More about this item
KeywordsEdgeworth binomial tree; Skewness; Kurtosis; Johnson distribution; American option; Jump diffusion; GARCH;
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