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q-fin.MF2024
Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
Jagdish Gnawali, W. Brent Lindquist, Svetlozar T. Rachev
We introduce a fairly general, recombining trinomial tree model in the natural world. Market-completeness is ensured by considering a market consisting of two risky assets, a riskl…
q-fin.MF2024
Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali +1
We present a unified, market-complete model that integrates both the Bachelier and Black-Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unifi…