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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.
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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Incomplete diversification and asset pricing
Madan, Dilip B.; Milne, Frank; Elliott, Robert J. - In: Advances in finance and stochastics : essays in honour …, (pp. 101-124). 2002
Persistent link: https://www.econbiz.de/10001672227
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Contingent claims valued and hedged by pricing and investing in a basis
Madan, Dilip B. - In: Mathematical finance : an international journal of … 4 (1994) 3, pp. 223-245
Persistent link: https://www.econbiz.de/10001185098
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Investors' judgments, asset pricing factors and sentiment
Shefrin, Hersh - In: European financial management : the journal of the … 21 (2015) 2, pp. 205-227
Persistent link: https://www.econbiz.de/10010516687
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Behavioral economics and business
Shefrin, Hersh - In: The purpose of business : contemporary perspectives …, (pp. 193-227). 2015
Persistent link: https://www.econbiz.de/10011416785
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Insights into the psychological profiles of entrepreneurs
Shefrin, Hersh - In: Advances in entrepreneurial finance : with applications …, (pp. 173-181). 2011
Persistent link: https://www.econbiz.de/10009512527
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The role of behavioral finance in risk management
Shefrin, Hersh - In: Risk management : a modern perspective, (pp. 653-676). 2006
Persistent link: https://www.econbiz.de/10003271758