Security price modelling by a binomial tree
Leipus, Remigijus ; Račkauskas, Alfredas
Applicationes Mathematicae, Tome 26 (1999), p. 253-266 / Harvested from The Polish Digital Mathematics Library
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We consider multidimensional tree-based models of arbitrage-free and path-independent security markets. We assume that no riskless investment exists. Contingent claims pricing and hedging problems in such a market are studied.

Publié le : 1999-01-01
EUDML-ID : urn:eudml:doc:219237 
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Leipus, Remigijus; Račkauskas, Alfredas. Security price modelling by a binomial tree. Applicationes Mathematicae, Tome 26 (1999) pp. 253-266. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-zmv26i3p253bwm/

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