# 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

top- J. C. Cox, S. A. Ross and M. Rubinstein (1979), Option pricing: a simplified approach, J. Financial Econom. 7, 229-263. Zbl1131.91333
- J. M. Harrison and S. Pliska (1981), Martingales and stochastic integrals in the theory of continuous trading, Stochastic Process. Appl. 11, 215-260. Zbl0482.60097
- J. Jacod and A. N. Shiryaev (1998), Local martingales and the fundamental asset pricing theorems in the discrete-time case, Finance Stochastics 2, 259-273. Zbl0903.60036
- B. A. Jensen and J. A. Nielsen (1996), Pricing by 'No arbitrage', in: Time Series Models in Econometrics, Finance and Other Fields, D. R. Cox et al. (eds.), Chapman & Hall, London, 177-223.
- 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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