- Tytuł:
- On option pricing in the multidimensional Cox-Ross-Rubinstein model
- Autorzy:
-
Motoczyński, Michał
Stettner, Łukasz - Powiązania:
- https://bibliotekanauki.pl/articles/1339064.pdf
- Data publikacji:
- 1998
- Wydawca:
- Polska Akademia Nauk. Instytut Matematyczny PAN
- Tematy:
-
contingent claim
self-financing strategies
super-hedging
option pricing - Opis:
- 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.
- Źródło:
-
Applicationes Mathematicae; 1998-1999, 25, 1; 55-72
1233-7234 - Pojawia się w:
- Applicationes Mathematicae
- Dostawca treści:
- Biblioteka Nauki
Artykuł