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

• Autorzy: Michał Motoczyński , Łukasz Stettner
• Języki publikacji: EN

Abstrakty

EN

Option pricing in the multidimensional case, i.e. when the contingent claim paid at maturity depends on a number of risky assets, is considered. It is assumed that the prices of the risky assets are in discrete time subject to binomial disturbances. Two approaches to option pricing are studied: geometric and analytic. A numerical example is also given.

Słowa kluczowe

EN

contingent claim   self-financing strategies   super-hedging   option pricing  

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 1998-1999
• Tom: 25
• Numer: 1
• Strony: 55-72

Daty

wydano

1998

otrzymano

1996-12-02

poprawiono

1997-05-23

Twórcy

autor

Michał Motoczyński

• Institute of Applied Mathematics and Mechanics, Warsaw University, Banacha 2, 02-097 Warszawa, Poland

autor

Łukasz Stettner

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-950 Warszawa, Poland

Bibliografia

• [1] J. C. Cox, S. A. Ross and M. Rubinstein, Option pricing: A simplified approach, J. Financial Econom. 7 (1979), 229-263
• [2] I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, Springer, New York, 1991.
• [3] A. N. Shiryaev, Yu. M. Kabanov, D. O. Kramkov and A. V. Melnikov, On the theory of pricing of European and American options. I. Discrete time, Teor. Veroyatnost. i Primenen. 39 (1994), 23-79 (in Russian).
• [4] G. Tessitore and J. Zabczyk, Pricing options for multinomial models, Bull. Polish Acad. Sci. Math. 44 (1996), 363-380.