Madan, Dilip B; Milne, Frank; Shefrin, Hersh - In: Review of Financial Studies 2 (1989) 2, pp. 251-65
The Cox, Ross, and Rubinstein binomial model is generalized to the multinomial case. Limits are investigated and shown to yield the Blacks-Scholes formula in the case of continuous sample paths for formula in the case of complete market structures. In the discontinuous case a Merton-type formula...
