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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, 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)
Date: 2005
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Handle: RePEc:kap:apfinm:v:12:y:2005:i:3:p:273-287