Option pricing using a binomial model with random time steps (A formal model of gamma hedging)-Reference-Cited by-同舟云学术

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Option pricing using a binomial model with random time steps (A formal model of gamma hedging)

Published:1996-06 Issue:2 Volume:1 Page:107-138
ISSN:1380-6645
Container-title:Review of Derivatives Research
language:en
Short-container-title:Rev Deriv Res

Author:

Dengler Heike,Jarrow Robert A.

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Finance

Link

http://link.springer.com/article/10.1007/BF01531595/fulltext.html

Reference13 articles.

1. Avram, F. (1988). ?Weak Convergence of the Variations, Iterated Integrals and Doléands-Dade Exponentials of Sequences of Semi martingales,?The Annals of Probability 16(1), 246?250.

2. Boyle, P. (1988). ?A Lattice Framework for Option Pricing with Two state Variables,?Journal of Financial and Quantitative Analysis 23(1), 1?13.

3. Duffie, D., and P. Proner. (1992). ?From Discrete- to Continuous-time Finance: Weak Convergence of the Financial Gain Process,?Mathematical Finance, 2(1), 1?15.

4. Durret, R. (1991).Probability: Theorem and Examples. Pacific Grove: Brooks/Cole Publishing Company.

5. Harrison, J. M. and S. R. Pliska (1981). ?Martingales and Stochastic Integrals in the Theory of Continuous Trading,?Stochastic Processes and Their Applications 11, 215?260.

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