An auto-regressive conditional binomial option pricing model
ContributorsPrigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier
Published inSelected Papers from the First World Congress of the Bachelier Finance Society, Editors Mathematical Finance – Bachelier Congress 2000, p. 353-373
Presented at Paris (France), 28th June - 1st July 2000
PublisherHeidelberg : Hélyette Geman, Dilip Madan, Stanley R. Pliska, Ton Vorst
Collection
- Springer Finance
Publication date2001
NoteDiscussion paper 364
Citation (ISO format)
PRIGENT, Jean-Luc, RENAULT, Olivier, SCAILLET, Olivier. An auto-regressive conditional binomial option pricing model. In: Selected Papers from the First World Congress of the Bachelier Finance Society. Paris (France). Heidelberg : Hélyette Geman, Dilip Madan, Stanley R. Pliska, Ton Vorst, 2001. p. 353–373. (Springer Finance) doi: 10.1007/978-3-662-12429-1_17
Main files (1)
Proceedings chapter (Published version)
Identifiers
- PID : unige:41791
- DOI : 10.1007/978-3-662-12429-1_17
ISBN978-3-642-08729-5
