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Finance / Korn–Kreer–Lenssen model / Black–Scholes / Risk-neutral measure / Forward contract / Binary option / Futures contract / Put option / Option style / Financial economics / Mathematical finance / Options


The Korn-Kreer-Lenssen Model as an Alternative for Option Pricing
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Document Date: 2005-09-19 10:55:00

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File Size: 118,30 KB

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City

Springer-Verlag / Blackwell / Toronto / /

Company

J. C. and Ross S. A. / Cox / TECHNICAL ARTICLE 3 / Option Pricing Xiong Chen Algorithmics Incorporated / Ross / /

Country

Canada / /

Currency

USD / /

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Facility

University of Pennsylvania / McMaster University / /

IndustryTerm

closed-form solutions / closed form solutions / closed form solution / /

Organization

McMaster University / University of Pennsylvania / Philadelphia / Department of Mathematics and Statistics / /

Person

Feng / Wang Zikun / Yang Xiangqun / Paul Wilmott / /

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Position

Professor / BD Model in dollar unit / e−rt / BD Model in dime unit / rT / /

ProvinceOrState

Pennsylvania / New York / Massachusetts / Ontario / /

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