On option pricing in the multidimensional Cox-Ross-Rubinstein model
Motoczyński, Michał ; Stettner, Łukasz
Applicationes Mathematicae, Tome 25 (1998), p. 55-72 / Harvested from The Polish Digital Mathematics Library

Option pricing in the multidimensional case, i.e. when the contingent claim paid at maturity depends on a number of risky assets, is considered. It is assumed that the prices of the risky assets are in discrete time subject to binomial disturbances. Two approaches to option pricing are studied: geometric and analytic. A numerical example is also given.

Publié le : 1998-01-01
EUDML-ID : urn:eudml:doc:219194
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     title = {On option pricing in the multidimensional Cox-Ross-Rubinstein model},
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     volume = {25},
     year = {1998},
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Motoczyński, Michał; Stettner, Łukasz. On option pricing in the multidimensional Cox-Ross-Rubinstein model. Applicationes Mathematicae, Tome 25 (1998) pp. 55-72. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-zmv25i1p55bwm/

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