J8 covnyVor

Find V, and j52

PpCCpCMppC

Much of the material in this chapter is relatively new. The overall structure of multiperiod investments is presented comprehensively in Duffie [1] Construction of multivariate lattices has been approached in several ways. See for example f2-3] The theory here was presented in [4] The buying price analysis is adapted from Smith and Nau |5f.

1 Duffie, D (1996), Dynamic A sset Pricing Theory, 2nd ed ., Princeton University Press, NJ.

2 Boyle, P P., J Evnine, and S Gibbs (1989), "Numerical Evaluation of Multivariate Con tingent Claims," Review of Financial Studies, 2, 241-250

3 He, H. (1990), "Convergence from Discrete- to Continuous-Time Contingent Claims Prices,"

Review of Financial Studies, 3, 523-546

4 Luenberger, D G. (1996), "Double Trees for Investment Analysis," presented at the Con ference on Computational Economics and Finance, Geneva, June

5 Smith, J E, and R F Nau (1995), "Valuing Risky Projects: Option Pricing Theory and

Decision Analysis," Management Science. 41, no 5, 795-816

Appendix A

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