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Jack Lee, Cheng Lee, K. Wei (1991)
Binomial option pricing with stochastic parameters: A beta distribution approachReview of Quantitative Finance and Accounting, 1
Edward Omberg (1988)
Efficient Discrete Time Jump Process Models in Option PricingJournal of Financial and Quantitative Analysis, 23
A. L. Turner, E. J. Weigel (1992)
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R. Stapleton, M. Subrahmanyam (1984)
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W. Beedles (1984)
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Skewness Persistence in Common Stock ReturnsJournal of Financial and Quantitative Analysis, 21
Andrew Turner, Eric Weigel (1992)
Daily stock market volatility: 1928–1989Management Science, 38
R. Aggarwal, R. Rao (1987)
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Stanley Kon (1984)
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Richard Rendleman, B. Bartter (1979)
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J. Hull, Alan White (1987)
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This research presents a method for estimating the parameters of the binomial option pricing model necessary to appropriately price calls on assets with asymmetric end-of-period return distributions. Parameters of the binomial model are shown to be a function of the mean, variance, and skewness of the underlying return distribution. It is also shown that failure to incorporate skewness results in the mispricing of the call.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Sep 29, 2004
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