094027 (E50) Introduction to option pricing in a securities market I: Binary models : Dzhaparidze K., van Zuijlen, CWI Quarterly, Volume 9, No. 4, 1997, pp. 319–355

094026 (E50) Introduction to option pric

094026 (E50) Introduction to option pricing in a securities market — II: Poisson approximation : Dzhaparidze K., CWI Quarterly, Volume 10, No. 1, 1997, pp. 65–100

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 84 KB

In this part of the lecture notes on securities trading we aim at the limiting transition from a binary market of part I towards the Poisson market described in Section 4. The conditions for this are formulated in Section 3, and the results in Section 5. The Poisson model describes the situation whe