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Security price modelling by a binomial tree. (English) Zbl 1050.91515

Summary: 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.

MSC:

91B28 Finance etc. (MSC2000)
91B24 Microeconomic theory (price theory and economic markets)
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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