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Acta Mathematica Vietnamica

ON A GENERALIZED COX-ROSS-RUBINSTEIN OPTION MARKET MODEL

NGUYEN VAN HUU, TRAN TRONG NGUYEN

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.