Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging

Yuji Yamada () and James Primbs ()

Asia-Pacific Financial Markets, 2004, vol. 11, issue 3, 335-365

Keywords: multinomial lattice; cumulants; excess kurtosis and skewness; compound poisson process; volatility smile (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/s10690-005-9005-2

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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