Similar Search Results

The multinomial option pricing model and its limits

Madan, Dilip B.; Milne, Frank - 1988

Persistent link: https://www.econbiz.de/10000753404

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

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

On pricing contingent capital notes

Madan, Dilip B. - In: Recent advances in financial engineering 2011: …, (pp. 21-42). 2012

Persistent link: https://www.econbiz.de/10009573490

Hedging options in a doubly Markov-modulated financial market via stochastic flows

Siu, Tak Kuen; Elliott, Robert J. - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-41

Persistent link: https://www.econbiz.de/10012183224

Estimating a regime switching pairs trading model

Elliott, Robert J.; Bradrania, Reza - In: Quantitative finance 18 (2018) 5, pp. 877-883

Persistent link: https://www.econbiz.de/10011907956

Pricing currency derivatives with Markov-modulated Lévy dynamics

Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76

Persistent link: https://www.econbiz.de/10010402730

Binomial models in finance : with 25 tables

Hoek, John van der; Elliott, Robert J. - 2006

Persistent link: https://www.econbiz.de/10002734174

Option pricing and filtering with hidden Markov-modulated pure-jump processes

Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 20 (2013) 1/2, pp. 1-25

Persistent link: https://www.econbiz.de/10009737182

On pricing and hedging options in regime-switching models with feedback effect

Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru - In: Journal of economic dynamics & control 35 (2011) 5, pp. 694-713

Persistent link: https://www.econbiz.de/10009240566