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

Review of Derivatives Research

Volumn 1, Issue 2, 1996, Pages 107-138

  Dengler, Heike ^a   Jarrow, Robert A ^b  

^a Cornell University ^*  (United States)

^b SAS Institute Inc   (United States)

Author keywords

Binomial model; Black scholes model; Gamma hedging; Implicit volatility; Options; Poisson process

Indexed keywords

EID: 0008979412     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF01531595     Document Type: Article

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