Pricing options on scenario trees

Journal of Banking and Finance

Volumn 32, Issue 2, 2008, Pages 283-298

  Topaloglou, Nikolas ^a   Vladimirou, Hercules ^a   Zenios, Stavros A ^a  

^a UNIVERSITY OF CYPRUS   (Cyprus)

Author keywords

Effect of higher order moments; European options; Pricing under discrete distributions; Risk neutral probabilities; Stochastic programming

Indexed keywords

EID: 38749093424     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.03.010     Document Type: Article

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