Geodesic
On option pricing in the multidimensional Cox-Ross-Rubinstein model
Applicationes Mathematicae, Tome 25 (1999) no. 1, pp. 55-72 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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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.
DOI : 10.4064/am-25-1-55-72
Keywords: contingent claim, self-financing strategies, super-hedging, option pricing

Michał Motoczyński 1 ; Łukasz Stettner 1

1 
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Michał Motoczyński; Łukasz Stettner. On option pricing in the multidimensional Cox-Ross-Rubinstein model. Applicationes Mathematicae, Tome 25 (1999) no. 1, pp. 55-72. doi: 10.4064/am-25-1-55-72

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