A VALUATION FORMULA FOR MULTI-ASSET, MULTI-PERIOD BINARIES IN A BLACK–SCHOLES ECONOMY

DOI10.1017/S1446181109000285zbMath1183.91181MaRDI QIDQ5851001

Max Skipper, Peter W. Buchen

Publication date: 21 January 2010

Published in: The ANZIAM Journal (Search for Journal in Brave)

zbMATH Keywords

option pricingBlack-Scholes modelbinary options

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading

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