Binomial options pricing has no closed-form solution

MaRDI QIDQ2919949zbMATH OpenFDO

Authors Evangelos Georgiadis

Publication date 23 October 2012

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL http://iospress.metapress.com/content/01pn702011417267/fulltext.html

Mathematics Subject Classification ID

Symbolic computation of special functions (Gosper and Zeilberger algorithms, etc.) (33F10) Analysis of algorithms and problem complexity (68Q25) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(3)

• Randomized binomial tree and pricing of American-style options
• Pricing complexity options
• A q -binomial extension of the CRR asset pricing model

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