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

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  • Jirô Akahori

    ()

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File URL: http://hdl.handle.net/10.1007/s10690-006-9026-5
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Article provided by Springer & Japanese Association of Financial Economics and Engineering 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
DOI: 10.1007/s10690-006-9026-5
Contact details of provider: Web page: http://www.springer.com

Web page: http://www.jafee.gr.jp/

Order Information: Web: http://www.springer.com/finance/journal/10690/PS2

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

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  1. 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.
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Cited by:

  1. 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.
  2. 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.

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