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The Multinomial Option Pricing Model and Its Brownian and Poisson Limits.

Madan, Dilip B; Milne, Frank; Shefrin, Hersh - In: Review of Financial Studies 2 (1989) 2, pp. 251-65

The Cox, Ross, and Rubinstein binomial model is generalized to the multinomial case. Limits are investigated and shown to yield the Blacks-Scholes formula in the case of continuous sample paths for formula in the case of complete market structures. In the discontinuous case a Merton-type formula...

Persistent link: https://www.econbiz.de/10005564256

[Besprechung von:] Earl, Peter E.: The economic imagination. Towards a behavioral analysis of choice. New York 1983

Shefrin, Hersh - In: Journal of economic behavior & organization : JEBO 6 (1985) 2, pp. 206-209

Persistent link: https://www.econbiz.de/10002793324

Borrowing, short-sales, consumer default, and the creation of new assets

Milne, Frank - In: Journal of financial and quantitative analysis : JFQA 14 (1979) 2, pp. 255-273

Persistent link: https://www.econbiz.de/10002533319

Choice over asset economies : default risk and corporate leverage

Milne, Frank - In: Journal of financial economics 2 (1975) 2, pp. 165-185

Persistent link: https://www.econbiz.de/10002534049

Consumer preferences, linear demand functions and aggregation in competitive asset markets

Milne, Frank - In: The review of economic studies 46 (1979) 3, pp. 407-417

Persistent link: https://www.econbiz.de/10002534138

Default risk in a general equilibrium asset economy with incomplete markets

Milne, Frank - In: International economic review 17 (1976) 3, pp. 613-625

Persistent link: https://www.econbiz.de/10002534157

Financial markets in a multiperiod temporary equilibrium model

Milne, Frank - 1980

Persistent link: https://www.econbiz.de/10002534166

Induced preferences and the theory of the consumer

Milne, Frank - In: Journal of economic theory 24 (1981) 2, pp. 205-217

Persistent link: https://www.econbiz.de/10002534175

Induced preferences and the theory of the consumer

Milne, Frank - 1980

Persistent link: https://www.econbiz.de/10002534178

On the operation of financial markets with transaction costs for securities

Milne, Frank - 1980

Persistent link: https://www.econbiz.de/10002534180

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