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Multinomial Approximating Models for Options with k State Variables

Management Science, no. 12 (1991): 1640-1652

Cited by: 155|Views5
EI

Abstract

Contingent claims whose values depend on multiple sources of uncertainty arise in many financial contracts and in the analysis of real projects. Unfortunately closed form solutions for these options are rare and numerical methods can be computationally expensive. This article extends the literature on multinomial approximating models. Spe...More

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