On option pricing in the multidimensional Cox-Ross-Rubinstein model
نویسندگان
چکیده
منابع مشابه
Random Cox-Ross-Rubinstein Model and Plain Vanilla Options
In this paper we introduce and study random Cox-Ross-Rubinstein (CRR) model. The CRR model is a natural bridge, overture to continuous models for which it is possible to derive the Black Scholes option pricing formula. An attractive property of CRR model is that the binomial tree for geometric Brownian motion is consistent with the standard Black-Scholes formula for European options in that no ...
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ژورنال
عنوان ژورنال: Applicationes Mathematicae
سال: 1998
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am-25-1-55-72