Milne, Frank; Madan, Dilip; Shefrin, Hersh - Economics Department, Queen's University - 1990
The Cox, Ross, and Rubinstein binomial model is generalized to the multinomial case. Limits are investigated and shown to yield the Black-Scholes formula in the case of continuous sample paths for a wide variety of complete market structures. In the discontinuous case a Merton-type formula is...
