Convergence from Discrete to Continuous Time Contingent Claims Prices
This article generalizes the Cox, Ross, and Rubinstein (1979) binomial option-pricing model, and establishes a convergence from discrete-time multivariate multinomial models to continuous-time multidimensional diffusion models for contigent claims prices. The key to the approach is to approximate the N-dimensional diffusion price process by a sequence of N-variate, (N+1)-nomial processes. It is shown that contingent claims prices and dynamic replicating portfolio strategies derived from the discrete time models converge to their corresponding continuous-time limits. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||01 Jul 1990|
|Date of revision:|
|Contact details of provider:|| Postal: University of California at Berkeley, Berkeley, CA USA|
Web page: http://haas.berkeley.edu/finance/WP/rpflist.html
More information through EDIRC
|Order Information:|| Postal: IBER, F502 Haas Building, University of California at Berkeley, Berkeley CA 94720-1922|
When requesting a correction, please mention this item's handle: RePEc:ucb:calbrf:rpf-199. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.