Products of trees for investment analysis

Journal of Economic Dynamics and Control

Volumn 22, Issue 8-9, 1998, Pages 1403-1417

  Luenberger, David G ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038909355     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(98)00018-9     Document Type: Article

References (9)

1. Cox J.C., Ross S.A., Rubinstein M. Option pricing a simplified approach. Journal of Financial Economics. 7:1979;229-263.
2. Boyle P.P. A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis. 23:1988;1-2.
3. Boyle P.P., Evnine J., Gibbs S. Numerical evaluation of multivariate contingent claims. Review of Financial Studies. 2:1989;241-250.
4. Madan D.B., Milne F., Shefrin H. The multinomial option pricing model and its Brownian and Poisson limits. The Review of Financial Studies. 2:1989;251-265.
5. He H. Convergence from discrete to continuous time contingent claims prices. Review of Financial Studies. 2:1990;523-546.
6. Kamrad, B., Ritchken, P., 1991. Multinomial approximating models for options with k state variables. Management Science 37, 1840-1652.
7. Rubinstein M. Return to Oz. Risk. 7:1994;67-71.
8. Lucas R.E. Asset prices in an exchange economy. Econometrica. 46:1978;1429-1445.
9. Duffie, D, 1992. Dynamic Asset Pricing, Princeton University Press, Princeton, NJ.