Two-State Option Pricing: Binomial Models Revisited (original) (raw)
Related papers
A Note on Parameters in Binomial Option Pricing
RePEc: Research Papers in Economics, 1991
Option pricing for the transformed-binomial class
Journal of Futures Markets, 2006
A binomial model for pricing US-style average options with reset features
International Journal of Financial Markets and Derivatives, 2010
Enhancing binomial and trinomial equity option pricing models
Finance Research Letters, 2019
Option Pricing in an Investment Risk-Return Setting
arXiv (Cornell University), 2020
Option pricing for Informed Traders
arXiv (Cornell University), 2017
Some Properties for the American Option-Pricing Model
Journal of Mathematical Finance, 2012
Behavioral finance option pricing formulas consistent with rational dynamic asset pricing
arXiv (Cornell University), 2017
Dynamic option pricing with endogenous stochastic arbitrage
Physica A: Statistical Mechanics and its Applications, 2010
The pricing theory of Asian options
2007
A Black–Scholes option pricing model with transaction costs
Journal of Mathematical Analysis and Applications, 2005
Another Look at the Ho–Lee Bond Option Pricing Model
Journal of Derivatives, 2018
The Valuation of Options on Capacity
Lecture Notes in Economics and Mathematical Systems, 2003
The valuation of options on capacity with cost and demand uncertainty
European Journal of Operational Research, 2006
Option Pricing Incorporating Factor Dynamics in Complete Markets
arXiv (Cornell University), 2020
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy
Mathematical Finance, 1992
Pricing of Asian Options by Numerical Path Integration
Prices of State-Contingent Claims Implicit in Option Prices
The Journal of Business, 1978
Option pricing under a double-exponential jump-diffusion model with varying severity of jumps
Probability in the Engineering and Informational Sciences, 2023
Pricing American Options in a Mild Stochastic Environment
RePEc: Research Papers in Economics, 2008
Approximate option pricing under a two-factor Heston–Kou stochastic volatility model
Computational Management Science, 2023
An Empirical Study of Stock and American Option Prices
SSRN Electronic Journal, 2011
A semilinear Black and Scholes partial differential equation for valuing American options
Finance and Stochastics, 2003
Pricing American Options Using Transition Probabilities: A Dynamical Systems Approach
Open Journal of Statistics, 2015
An Improved Binomial Lattice Method for Multi‐Dimensional Options
Applied Mathematical Finance, 2007
The hypotheses underlying the pricing of options: a note on a paper by Bartels
1997
A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options
Computational Economics, 2013
The Cross-Section of Individual Equity Option Returns
SSRN Electronic Journal, 2021
Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model
arXiv (Cornell University), 2020
Analytic Pricing of Employee Stock Options
SSRN Electronic Journal, 2000
A Bond Option Pricing Formula in the Extended CIR Model, with an
2014
An RBF–FD method for pricing American options under jump–diffusion models
Computers & Mathematics with Applications, 2018
Binomial approximations of shortfall risk for game options
The Annals of Applied Probability, 2008
The pricing of convexity risk and timedecay in options markets
Journal of Banking & Finance, 1994
The Model of Lines for Option Pricing with Jumps
SSRN Electronic Journal, 2001