On option pricing in the multidimensional Cox-Ross-Rubinstein model
Volume 25 / 1998
Applicationes Mathematicae 25 (1998), 55-72
DOI: 10.4064/am-25-1-55-72
Abstract
Option pricing in the multidimensional case, i.e. when the contingent claim paid at maturity depends on a number of risky assets, is considered. It is assumed that the prices of the risky assets are in discrete time subject to binomial disturbances. Two approaches to option pricing are studied: geometric and analytic. A numerical example is also given.
