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Contingent claims valued and hedged by pricing and investing in a basis

Madan, Dilip B. - In: Mathematical finance : an international journal of … 4 (1994) 3, pp. 223-245

Persistent link: https://www.econbiz.de/10001185098

The multinomial option pricing model and its Brownian and Poisson limits

Madan, Dilip B. - In: The review of financial studies 2 (1989) 2, pp. 251-265

Persistent link: https://www.econbiz.de/10001106370

The multinomial option pricing model and its limits

Madan, Dilip B.; Milne, Frank - 1988

Persistent link: https://www.econbiz.de/10000753404

Incomplete diversification and asset pricing

Madan, Dilip B.; Milne, Frank; Elliott, Robert J. - In: Advances in finance and stochastics : essays in honour …, (pp. 101-124). 2002

Persistent link: https://www.econbiz.de/10001672227

The multinomial option pricing model and its Brownian and poisson limits

Milne, Frank (contributor); Madan, Dilip B. (contributor); … - 1990

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

Persistent link: https://www.econbiz.de/10003780966