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Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging
http://hdl.handle.net/2241/00146090
http://hdl.handle.net/2241/001460907093285b-c142-475d-99d1-7954fb7f762b
名前 / ファイル | ライセンス | アクション |
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APFM_11-3 (309.1 kB)
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Item type | Journal Article(1) | |||||
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公開日 | 2017-05-15 | |||||
タイトル | ||||||
タイトル | Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | journal article | |||||
著者 |
Yamada, Yuji
× Yamada, Yuji× Primbs, James A. |
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著者別名 |
山田, 雄二
× 山田, 雄二 |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper, we analyze properties of multinomial lattices that model general stochastic dynamics of the underlying stock by taking into account any given cumulants (or moments). First, we provide a parameterization of multinomial lattices, and demonstrate that mean, variance, skewness, and kurtosis of the underlying may be matched using five branches. Then, we investigate the convergence of the multinomial lattice when the basic time period approaches zero, and prove that the limiting process of the multinomial lattice that matches annualized mean, variance, skewness and kurtosis is given by a compound Poisson process. Finally, we illustrate the effect of higher order moments in the underlying asset process on the price of derivative securities through numerical experiments using the multinomial lattice, and provide a comparison with jump-diffusion models. | |||||
書誌情報 |
Asia-Pacific financial markets 巻 11, 号 3, p. 335-365, 発行日 2004-09 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 1387-2834 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11224457 | |||||
DOI | ||||||
識別子タイプ | DOI | |||||
関連識別子 | 10.1007/s10690-005-9005-2 | |||||
権利 | ||||||
権利情報 | © Springer 2006 | |||||
権利 | ||||||
権利情報 | The final publication is available at Springer via http://dx.doi.org/ 10.1007/s10690-005-9005-2 | |||||
著者版フラグ | ||||||
値 | author | |||||
出版者 | ||||||
出版者 | Springer |