The Multinomial Option Pricing Model and Its Brownian and Poisson Limits
将Cox-Ross-Rubinstein二项模型推广到多项情形，证明连续样本路径下极限得到Black-Scholes公式，跳跃情形下得到Merton型公式，对期权定价理论有重要参考价值。
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 of Merton-type formula is shown to result, provided jump probabilities are replaced by their corresponding Arrow-Debreu prices.