Acta Mathematica Vietnamica
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ON A GENERALIZED COX-ROSS-RUBINSTEIN OPTION MARKET MODEL
NGUYEN VAN HUU, TRAN TRONG NGUYENpp. 187-204
Abstract
This paper considers a generalization of the Cox-Ross-Rubinstein model for an option market. Some limit theorems for the stock price process and their application to approximately determining the rational price and hedging strategies of standard European option are established.