Leipus, Remigijus; Račkauskas, Alfredas Security price modelling by a binomial tree. (English) Zbl 1050.91515 Appl. Math. 26, No. 3, 253-266 (1999). 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) PDFBibTeX XMLCite \textit{R. Leipus} and \textit{A. Račkauskas}, Appl. Math. 26, No. 3, 253--266 (1999; Zbl 1050.91515) Full Text: DOI EuDML