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The multinomial option pricing model and its Brownian and poisson limits
Milne, Frank; Madan, Dilip; Shefrin, Hersh - 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...
Persistent link: https://www.econbiz.de/10010290439
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The Multinomial Option Pricing Model and Its Brownian and Poisson Limits.
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...
Persistent link: https://www.econbiz.de/10005564256
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The Multinomial Option Pricing Model and Its Brownian and Poisson Limits
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...
Persistent link: https://www.econbiz.de/10005688432
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The multinomial option pricing model and its Brownian and Poisson limits
Madan, Dilip B. - In: The review of financial studies 2 (1989) 2, pp. 251-265
Persistent link: https://www.econbiz.de/10001106370
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Ex post efficiency and ex post welfare : some fundamental considerations
Milne, Frank - In: Economica 55 (1988) 217, pp. 63-79
Persistent link: https://www.econbiz.de/10001081306
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Information and securities : a note on Pareto dominance and the second best
Milne, Frank - In: Journal of economic theory 43 (1987) 2, pp. 314-328
Persistent link: https://www.econbiz.de/10001055674
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The multinomial option pricing model and its Brownian and poisson limits
Milne, Frank (contributor); Madan, Dilip B. (contributor);  … - 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...
Persistent link: https://www.econbiz.de/10003780966