Geodesic
Security price modelling by a binomial tree
Applicationes Mathematicae, Tome 26 (1999) no. 3, pp. 253-266

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/am-26-3-253-266
Keywords: numeraire portfolio, binomial market model, arbitrage-free market

Remigijus Leipus 1 ; Alfredas Račkauskas 1

1 
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Remigijus Leipus; Alfredas Račkauskas. Security price modelling by a binomial tree. Applicationes Mathematicae, Tome 26 (1999) no. 3, pp. 253-266. doi: 10.4064/am-26-3-253-266

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