Convergence from Discrete- to Continuous-Time Contingent Claims Prices
推广了Cox-Ross-Rubinstein二项式期权定价模型，证明离散时间多元多项模型的价格和复制策略收敛到连续时间多维扩散模型，对金融衍生品定价理论有重要贡献。
This article generalizes the Cox, Ross, and Rubinstein (1979) binomial option-pricing model, and establishes a convergence from discrete-time multivariate multinomial models to continuous-time multidimensional diffusion models for contingent claims prices. The key to the approach is to approximate the |$N$|-dimensional diffusion price process by a sequence of |$N$|-variate, |$(N+1)$|-nomial processes. It is shown that contingent claims prices and dynamic replicating portfolio strategies derived from the discrete time models converge to their corresponding continuous-time limits.