Discrete market models

  • Andrea Pascucci
Part of the Bocconi & Springer Series book series (BS)


In this chapter we describe market models in discrete time to price and hedge European and American-style derivatives. We present the classical model introduced by Cox, Ross and Rubinstein in [78] and we mention briefly the pricing problem in incomplete markets. General references on topics covered in this chapter are Dana and Jeanblanc [84], Föllmer and Schied [134], Lamberton and Lapeyre [226], Pliska [282], Shreve [310], van der Hoek and Elliott [329]: we also mention Pascucci and Runggaldier [277] where several examples and exercises can be found.


Risky Asset Call Option American Option Underlying Asset Hedging Strategy 
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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Andrea Pascucci
    • 1
  1. 1.Department of MathematicsUniversity of BolognaBologna

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