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A discrete Itô calculus approach to He’s framework for multi-factor discrete markets

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Author Info
Jirô Akahori ()

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File URL: http://hdl.handle.net/10.1007/s10690-006-9026-5
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 12 (2005)
Issue (Month): 3 (September)
Pages: 273-287
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Handle: RePEc:kap:apfinm:v:12:y:2005:i:3:p:273-287

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Related research
Keywords: Discrete Itô formula; Finite difference scheme; Discrete-time multi-asset market; Primary 91B28; Secondary 60G50; 65C20; 60F99;

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  1. Jir\^o Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor," Quantitative Finance Papers math/0606183, arXiv.org. [Downloadable!]
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