Arbeitspapier
The multinomial option pricing model and its Brownian and poisson limits
The Cox, Ross, and Rubinstein binomial model is generalized to the multinomial case. Limits are investigated and shown to yield the Black-Scholes formula in the case of continuous sample paths for a wide variety of complete market structures. In the discontinuous case a Merton-type formula is shown to result, provided jump probabilities are replaced by their corresponding Arrow-Debreu prices.
- Language
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Englisch
- Bibliographic citation
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Series: Queen's Economics Department Working Paper ; No. 1162
- Classification
-
Wirtschaft
- Subject
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Termingeschäft
Capital Asset Pricing Model
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Milne, Frank
Madan, Dilip
Shefrin, Hersh
- Event
-
Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
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Kingston (Ontario)
- (when)
-
1990
- Handle
- Last update
-
28.04.2025, 12:46 AM CEST
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Milne, Frank
- Madan, Dilip
- Shefrin, Hersh
- Queen's University, Department of Economics
Time of origin
- 1990
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