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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

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

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

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

A "simple" hybrid model for power derivatives

Lyle, Matthew R.; Elliott, Robert J. - In: Energy economics 31 (2009) 5, pp. 757-767

Persistent link: https://www.econbiz.de/10003880275

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

Credit risk and contagion via self-exciting default intensity

Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 3/4, pp. 319-344

Persistent link: https://www.econbiz.de/10011459064

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

A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions

Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708

Persistent link: https://www.econbiz.de/10009298478