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Title

An auto-regressive conditional binomial option pricing model

Authors
Prigent, Jean-Luc
Renault, Olivier
Published in Mathematical Finance – Bachelier Congress 2000. Selected Papers from the First World Congress of the Bachelier Finance Society. Paris (France) - 28th June - 1st July 2000 - Heidelberg: Hélyette Geman, Dilip Madan, Stanley R. Pliska, Ton Vorst. 2001, p. 353-373
Collection Springer Finance
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ISBN: 978-3-642-08729-5
Note Discussion paper 364
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SCAILLET, Olivier, PRIGENT, Jean-Luc, RENAULT, Olivier. An auto-regressive conditional binomial option pricing model. In: Mathematical Finance – Bachelier Congress 2000 (Ed.). 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) https://archive-ouverte.unige.ch/unige:41791

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Deposited on : 2014-11-14

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