haku: @journal_id 62 / yhteensä: 680
viite: 15 / 680
Tekijä: | Chen, R-R. Chung, S-L. Yang, T.T. |
Otsikko: | Option pricing in a multi-asset, complete market economy |
Lehti: | Journal of Financial and Quantitative Analysis
2002 : DEC, VOL. 37:4, p. 649-666 |
Asiasana: | Assets Market economy Option prices |
Kieli: | eng |
Tiivistelmä: | 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) |
SCIMA