search query: @indexterm Market economy / total: 635
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| Author: | Chen, R-R. Chung, S-L. Yang, T.T. |
| Title: | Option pricing in a multi-asset, complete market economy |
| Journal: | Journal of Financial and Quantitative Analysis
2002 : DEC, VOL. 37:4, p. 649-666 |
| Index terms: | Assets Market economy Option prices |
| Language: | eng |
| Abstract: | This paper extends the seminal Cox-Ross-Rubinstein (1979) binomial model to multiple assets. It differs from previous models in that it is derived under the complete market environment specified by Duffic and Huang (1985) and He (1990) |
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