A discrete Itô calculus approach to He’s framework for multi-factor discrete markets
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References listed on IDEAS
- He, Hua, 1990.
"Convergence from Discrete- to Continuous-Time Contingent Claims Prices,"
Review of Financial Studies,
Society for Financial Studies, vol. 3(4), pages 523-546.
- Hua He., 1990. "Convergence from Discrete to Continuous Time Contingent Claims Prices," Research Program in Finance Working Papers RPF-199, University of California at Berkeley.
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- Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö, 2017. "The scaling limit of superreplication prices with small transaction costs in the multivariate case," Finance and Stochastics, Springer, vol. 21(2), pages 487-508, April.
- Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006.
"Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor,"
Asia-Pacific Financial Markets,
Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 151-179, June.
- Jir^o Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor," Papers math/0606183, arXiv.org.
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KeywordsDiscrete Itô formula; Finite difference scheme; Discrete-time multi-asset market; Primary 91B28; Secondary 60G50; 65C20; 60F99;
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