A discrete Itô calculus approach to He’s framework for multi-factor discrete markets
Jiro Akahori ()
Asia-Pacific Financial Markets, 2005, vol. 12, issue 3, pages 273-287
Keywords: Discrete Itô formula; Finite difference scheme; Discrete-time multi-asset market; Primary 91B28; Secondary 60G50; 65C20; 60F99 (search for similar items in EconPapers)
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Persistent link: /RePEc:kap:apfinm:v:12:y:2005:i:3:p:273-287
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