The Multinomial Option Pricing Model and Its Brownian and Poisson Limits
成果类型：
Article
署名作者：
Madan, Dilip B.; Milne, Frank; Shefrin, Hersh
署名单位：
University System of Maryland; University of Maryland College Park; Australian National University; Santa Clara University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/2.2.251
发表日期：
1989
页码：
251
关键词：
摘要：
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 shown to result, provided jump probabilities are replaced by their corresponding Arrow-Debreu prices.