Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model
The article concerns the generalised Cox‑Ross‑Rubinstein (CRR) option pricing model with new formulas for changes in upper and lower stock prices. The formula for option pricing in this model, which is the Black‑Scholes type formula, and its asymptotics are presented. The aim of the paper is to anal...
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| Format: | Article |
| Language: | English |
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Lodz University Press
2023-07-01
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| Series: | Acta Universitatis Lodziensis. Folia Oeconomica |
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| Online Access: | https://czasopisma.uni.lodz.pl/foe/article/view/14109 |