Option Pricing in a Multi-Asset, Complete Market Economy

This paper extends the seminal Cox-Ross-Rubinstein ((1979), CRR hereafter) binomial model to multiple assets. It differs from previous models in that it is derived under the complete market environment specified by Duffie and Huang (1985) and He (1990).

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Year of publication:	2002
Authors:	Chen, Ren-Raw ; Chung, San-Lin ; Yang, Tyler T.
Published in:	Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 37.2002, 04, p. 649-666
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005139323