Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
The 35th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Oct. 2003, Ube)
Multi-Dimensional Discrete Stochastic Calculus and its application to a problem in mathematical finance
Jirô Akahori
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2004 Volume 2004 Pages 71-76

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Abstract
The present paper gives a brief survey of discrete Itô calculus, which was recently introduced by the author. An application of the calculus to a multi-dimensional version of Cox-Ross-Rubinstein model will be presented.
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© 2004 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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