Security price modelling by a binomial tree
Volume 26 / 1999
Applicationes Mathematicae 26 (1999), 253-266
DOI: 10.4064/am-26-3-253-266
Abstract
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.
