Security price modelling by a binomial tree
Remigijus Leipus; Alfredas Račkauskas
Applicationes Mathematicae (1999)
- Volume: 26, Issue: 3, page 253-266
- ISSN: 1233-7234
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topLeipus, Remigijus, and Račkauskas, Alfredas. "Security price modelling by a binomial tree." Applicationes Mathematicae 26.3 (1999): 253-266. <http://eudml.org/doc/219237>.
@article{Leipus1999,
abstract = {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.},
author = {Leipus, Remigijus, Račkauskas, Alfredas},
journal = {Applicationes Mathematicae},
keywords = {numeraire portfolio; binomial market model; arbitrage-free market},
language = {eng},
number = {3},
pages = {253-266},
title = {Security price modelling by a binomial tree},
url = {http://eudml.org/doc/219237},
volume = {26},
year = {1999},
}
TY - JOUR
AU - Leipus, Remigijus
AU - Račkauskas, Alfredas
TI - Security price modelling by a binomial tree
JO - Applicationes Mathematicae
PY - 1999
VL - 26
IS - 3
SP - 253
EP - 266
AB - 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.
LA - eng
KW - numeraire portfolio; binomial market model; arbitrage-free market
UR - http://eudml.org/doc/219237
ER -
References
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- Yu. M. Kabanov and D. O. Kramkov (1994), No-arbitrage and equivalent martingale measures: an elementary proof of the Harrison-Pliska theorem, Theory Probab. Appl. 39, 635-640. Zbl0834.60045
- D. Lamberton and B. Lapeyre (1996), Introduction to Stochastic Calculus Applied to Finance, Chapman & Hall, London. Zbl0949.60005
- J. B. Long Jr. (1990), The numeraire portfolio, J. Financial Econom. 26, 29-69.
- M. Motoczyński and Ł. Stettner (1998), On option pricing in the multidimensional Cox-Ross-Rubinstein model, Appl. Math. (Warsaw) 25, 55-72. Zbl0895.90016
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