Valuation of derivative securities involving several assets using discrete time methods

DOI10.1016/0167-6687(90)90025-9zbMath0707.90015OpenAlexW2087554232MaRDI QIDQ919967

Phelim P. Boyle

Publication date: 1990

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(90)90025-9

zbMATH Keywords

option pricingBlack-Scholes modelcontinuous-timecontinuous time financial modelsCox-Ross-Rubinstein binomial methodmultivariate contingent claims

Mathematics Subject Classification ID

Application models in control theory (93C95) Discrete-time control/observation systems (93C55) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Martingales and arbitrage in multiperiod securities markets
• Option pricing: A simplified approach

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