Chen, Ren-Raw; Chung, San-Lin; Yang, Tyler T. - In: Journal of Financial and Quantitative Analysis 37 (2002) 04, pp. 649-666
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).
