ArticleOriginal scientific text
Title
Security price modelling by a binomial tree
Authors 1, 2
Affiliations
- Department of Mathematics, Vilnius University, Naugarduko 24, Vilnius 2600, Lithuania
- Institute of Mathematics and Informatics, Akademijos 4, Vilnius 2600, Lithuania
Abstract
We consider multidimensional tree-based models of arbitrage-free and path-independent security markets. We assume that no riskless investment exists. Contingent claims pricing and hedging problems in such a market are studied.
Keywords
numeraire portfolio, binomial market model, arbitrage-free market
Bibliography
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Pages:
253-266
Main language of publication
English
Received
1998-06-25
Accepted
1999-02-08
Published
1999
Exact and natural sciences