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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31332


    Title: Option pricing in a multi-asset, complete market economy
    Authors: Chen,RR;Chung,SL;Yang,TT
    Contributors: 財務金融研究所
    Keywords: TIME CONTINGENT CLAIMS;SECURITIES;DISCRETE;PRICES;APPROXIMATIONS;CONVERGENCE;VALUATION;MAXIMUM;MINIMUM
    Date: 2002
    Issue Date: 2010-07-06 17:42:28 (UTC+8)
    Publisher: 中央大學
    Abstract: This paper extends the seminal Cox-Ross-Rubinstein ((1979), CRR hereafter) binomial model to multiple assets. It differs from previous models in that it is derived under the complete market environment specified by Duffie and Huang (1985) and He (1990). T
    Relation: JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
    Appears in Collections:[財務金融研究所] 期刊論文

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