A Discrete Time Synthesis of Derivative Security Valuation Using a Term Structure of Futures Prices
نویسنده
چکیده
This paper synthesizes the existing discrete-time option pricing literature. We posit a binomial process on a term structure of futures prices and derive existing discrete-time results as special cases of our general framework. by Peter P. Carr and Robert A. Jarrow Johnson Graduate School of Management Cornell University, Ithaca, NY 14853 Internet Addresses: [email protected] and [email protected] Office Phones: (607) 255-6255 and (607) 255-4729 Fax Phone: (607) 254-4590 Current Version: May 17, 1994 Comments are welcome.
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