caa a22 4500 386308896 CHVBK 20180307111538.0 cr unu---uuuuu 161130e198806 xx s 000 0 eng 10.2307/2330879 doi S0022109000013028 pii (NATIONALLICENCE)cambridge-10.2307/2330879 Omberg Edward Efficient Discrete Time Jump Process Models in Option Pricing [Elektronische Daten] [Edward Omberg] A family of jump process models is derived by applying Gauss-Hermite quadrature to the recursive integration problem presented by a compound option model. The result is jump processes of any order with known efficiency properties in valuing options. In addition, these processes arise in the replication of options over finite periods of time with two or more assets where they again have known efficiency properties. A "sharpened” trinomial process is designed that accounts for the first-derivative discontinuity in option valuation functions at critical exercise points. It is shown to have accuracy superior to that of conventional binomial and trinomial processes and is nearly identical to the trinomial process optimized by Boyle (1988) through trial and error. Copyright © School of Business Administration, University of Washington 1988 Journal of Financial and Quantitative Analysis Cambridge University Press 23/2(1988-06), 161-174 0022-1090 23:2<161 1988 23 JFQ https://doi.org/10.2307/2330879 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2330879 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Omberg Edward NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/2(1988-06), 161-174 0022-1090 23:2<161 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge