On option pricing in the multidimensional Cox-Ross-Rubinstein model

DOI10.4064/AM-25-1-55-72zbMATH Open0895.90016OpenAlexW1587621274MaRDI QIDQ4386250FDOQ4386250

Authors: M. Motoczyński, Łukasz Stettner 

Publication date: 26 April 1998

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/219194

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zbMATH Keywords

option pricingsuper-hedgingcontingent claimself-financing strategies

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

Cited In (9)

• On the multiplicity of option prices under CEV with positive elasticity of variance
• Dimension reduction for pricing options under multidimensional Lévy processes
• Option pricing in CRR model with time dependent parameters for two periods of time. I
• Title not available (Why is that?)
• Diffusion approximation for average investor's income with loss risk
• Valuation of derivative securities involving several assets using discrete time methods
• Richter's local limit theorem and Black-Scholes type formulas
• On a generalized Cox-Ross-Rubinstein option market model
• The decoupling approach to binomial pricing of multi-asset options

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