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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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  • Jirô Akahori, 2005. "A discrete Itô calculus approach to He’s framework for multi-factor discrete markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 273-287, September.
  • Handle: RePEc:kap:apfinm:v:12:y:2005:i:3:p:273-287 DOI: 10.1007/s10690-006-9026-5
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    References listed on IDEAS

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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. 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.
    2. 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.

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