On the option pricing for a generalization of the binomial model

Journal of Mathematical Sciences

Volumn 99, Issue 3, 2000, Pages 1267-1272

  Kascheev, D E ^a  

^a TVER STATE UNIVERSITY   (Russian Federation)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 21144458275     PISSN: 10723374     EISSN: 15738795     Source Type: Journal    
DOI: 10.1007/BF02674086     Document Type: Article

References (5)

1. P. Black and M. Scholes, "The pricing of options and corporate liabilities," J. Polit. Econ., No. 3, 637-659 (1973).
2. R. C. Merton, "Theory of rational option pricing," Bell. J. Econ. Manag. Sci., 4, 141-183 (1973).
3. J. C. Cox, S. A. Ross, and M. Rubinstein, "Option pricing: A simplified approach," J. Financial Econ., 7, 229-263 (1979).
4. A. N. Shiryaev, Yu. M. Kabanov, D. O. Kramkov, and A. V. Melnikov, "On the option pricing theory for European and American options, I. Discrete time," Teor. Veroyatn. Primen., 39, No. 1 (1994).
5. S. T. Rachev and L. Russendorf, "Models and evaluation of option contracts," Teor. Veroyatn. Primen., 39, No. 1 (1994).