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- W2775301395 abstract "Abstract We extend the classical Cox–Ross–Rubinstein binomial model in two ways. We first develop a binomial model with time-dependent parameters that equate all moments of the pricing tree increments with the corresponding moments of the increments of the limiting Ito price process. Second, we introduce a new trinomial model in the natural (historical) world, again fitting all moments of the pricing tree increments to the corresponding geometric Brownian motion. We introduce the risk-neutral trinomial tree and derive a hedging strategy based on an additional perpetual derivative used as a second asset for hedging at any node of the trinomial pricing tree." @default.
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- W2775301395 date "2019-03-01" @default.
- W2775301395 modified "2023-10-16" @default.
- W2775301395 title "Enhancing binomial and trinomial equity option pricing models" @default.
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- W2775301395 doi "https://doi.org/10.1016/j.frl.2018.04.022" @default.
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