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- W355367079 abstract "The first half of the paper is intended as a short survey on discrete- and continuous-time option pricing. In the second part, we develop new concepts and derive new results for option valuations within a generalized binomialmodelwith random upturns and downturns, characterizing the equivalent portfolio, the trading strategy, and the call option valuation. Motivated by the Mandelbrot-Taylor Paretian stable model for stock returns we apply the generalized binomial model to obtain - in the limit - call valuation formulae for subordinated stock-price processes." @default.
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- W355367079 date "1995-01-01" @default.
- W355367079 modified "2023-09-28" @default.
- W355367079 title "A generalized binomial model and option pricing formulae for subordinated stock-price processes" @default.
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