JSTOR Daily

Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model

The paper studies the binomial tree method for American options in a jump-diffusion model. We employ the theory of viscosity solution to show uniform convergence of the binomial tree method for ...
JSTOR Daily

On nonparametric predictive inference for asset and European option trading in the binomial tree model

Vol. 70, No. 10, Special Issue: Computational Approaches and Data Analytics in Financial Services (OCTOBER 2019), pp. 1678-1691 (14 pages) Published By: Taylor & Francis, Ltd. This article introduces ...
Risk

Breaking barriers in options pricing

After Black Monday in 1987, options implied volatilities started to display a ‘smile’ in relation to different strike prices, which models at the time could not capture. In 1994, two solutions were ...
Investopedia

Fugit: What It is, How It Works, Calculation

Caroline Banton has 6+ years of experience as a writer of business and finance articles. She also writes biographies for Story Terrace. Thomas J Catalano is a CFP and Registered Investment Adviser ...
Risk

Finite difference schemes with exact recovery of vanilla option prices

Peter Austing shows how to set up finite difference solvers to exactly recover the prices of all vanilla options on the grid. The approach leads to a specific discretisation of Dupire’s formula. It ...
Investopedia

Gamma Pricing Model: What It Is, How It Works

Caroline Banton has 6+ years of experience as a writer of business and finance articles. She also writes biographies for Story Terrace. Thomas J Catalano is a CFP and Registered Investment Adviser ...