Option pricing in CRR model with time dependent parameters for two periods of time. I

DOI10.26485/0459-6854/2019/69.1/6MaRDI QIDQ6180683FDOQ6180683

Authors: Emilia Fraszka-Sobczyk, Anna Chojnowska-Michalik 

Publication date: 19 January 2024

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zbMATH Keywords

option pricingBlack-Scholes formulaCox-Ross-Rubinstein model (CRR model)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (2)

• Option pricing in CRR model with time dependent parameters for two periods of time. II
• A q -binomial extension of the CRR asset pricing model

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