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Chapter 4: Finite Market Model

Chapter 4: Finite Market Model

pp. 97-122

Authors

, University of Leeds, , Lancaster University
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Summary

In this section we study a more general discrete model, of which the binomial model is a special case. This model is called the finite market model. As for the binomial model, we are interested in the arbitrage-free price of a contingent claim. To study this question, we introduced two important tools in Chapter 3.

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