Option pricing in a multi-asset, complete market economy

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31332

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:	[Graduate Institute of Finance] journal & Dissertation

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