Security price modelling by a binomial tree

• Autorzy: Remigijus Leipus , Alfredas Račkauskas
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

numeraire portfolio; binomial market model; arbitrage-free market

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 1999
• Tom: 26
• Numer: 3
• Strony: 253-266

Daty

wydano

1999

otrzymano

1998-06-25

poprawiono

1999-02-08

Twórcy

autor

Remigijus Leipus

• Department of Mathematics, Vilnius University, Naugarduko 24, Vilnius 2600, Lithuania

autor

Alfredas Račkauskas

• Institute of Mathematics and Informatics, Akademijos 4, Vilnius 2600, Lithuania

Bibliografia

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