On option pricing in the multidimensional Cox-Ross-Rubinstein model

Michał Motoczyński; Łukasz Stettner

Applicationes Mathematicae (1998)

  • Volume: 25, Issue: 1, page 55-72
  • ISSN: 1233-7234

Abstract

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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.

How to cite

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Motoczyński, Michał, and Stettner, Łukasz. "On option pricing in the multidimensional Cox-Ross-Rubinstein model." Applicationes Mathematicae 25.1 (1998): 55-72. <http://eudml.org/doc/219194>.

@article{Motoczyński1998,
abstract = {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.},
author = {Motoczyński, Michał, Stettner, Łukasz},
journal = {Applicationes Mathematicae},
keywords = {contingent claim; self-financing strategies; super-hedging; option pricing},
language = {eng},
number = {1},
pages = {55-72},
title = {On option pricing in the multidimensional Cox-Ross-Rubinstein model},
url = {http://eudml.org/doc/219194},
volume = {25},
year = {1998},
}

TY - JOUR
AU - Motoczyński, Michał
AU - Stettner, Łukasz
TI - On option pricing in the multidimensional Cox-Ross-Rubinstein model
JO - Applicationes Mathematicae
PY - 1998
VL - 25
IS - 1
SP - 55
EP - 72
AB - 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.
LA - eng
KW - contingent claim; self-financing strategies; super-hedging; option pricing
UR - http://eudml.org/doc/219194
ER -

References

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  1. [1] J. C. Cox, S. A. Ross and M. Rubinstein, Option pricing: A simplified approach, J. Financial Econom. 7 (1979), 229-263 Zbl1131.91333
  2. [2] I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, Springer, New York, 1991. Zbl0734.60060
  3. [3] A. N. Shiryaev, Yu. M. Kabanov, D. O. Kramkov and A. V. Melnikov, On the theory of pricing of European and American options. I. Discrete time, Teor. Veroyatnost. i Primenen. 39 (1994), 23-79 (in Russian). Zbl0833.60064
  4. [4] G. Tessitore and J. Zabczyk, Pricing options for multinomial models, Bull. Polish Acad. Sci. Math. 44 (1996), 363-380. Zbl0868.90010

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