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 |
| Subjects: | |
| Online Access: | https://czasopisma.uni.lodz.pl/foe/article/view/14109 |
| _version_ | 1827589634777939968 |
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| author | Emilia Fraszka-Sobczyk |
| author_facet | Emilia Fraszka-Sobczyk |
| author_sort | Emilia Fraszka-Sobczyk |
| collection | DOAJ |
| description | 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 analyse limiting cases of the obtained asymptotics using probability theory and later data from the Warsaw Stock Exchange. Empirical analyses of option pricing in the generalised CRR model confirm the calculated limits. |
| first_indexed | 2024-03-09T01:04:44Z |
| format | Article |
| id | doaj.art-6bbb94977a674c5ca79d502ef7df15a7 |
| institution | Directory Open Access Journal |
| issn | 0208-6018 2353-7663 |
| language | English |
| last_indexed | 2024-03-09T01:04:44Z |
| publishDate | 2023-07-01 |
| publisher | Lodz University Press |
| record_format | Article |
| series | Acta Universitatis Lodziensis. Folia Oeconomica |
| spelling | doaj.art-6bbb94977a674c5ca79d502ef7df15a72023-12-11T11:04:17ZengLodz University PressActa Universitatis Lodziensis. Folia Oeconomica0208-60182353-76632023-07-01236312410.18778/0208-6018.363.0121199Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR ModelEmilia Fraszka-Sobczyk0https://orcid.org/0000-0001-9736-4406University of Lodz, Faculty of Economics and Sociology, Department of Theory and Analysis of Economic Systems, Lodz, PolandThe 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 analyse limiting cases of the obtained asymptotics using probability theory and later data from the Warsaw Stock Exchange. Empirical analyses of option pricing in the generalised CRR model confirm the calculated limits.https://czasopisma.uni.lodz.pl/foe/article/view/14109cox‑ross‑rubinstein model (crr model)binomial modelblack‑scholes formulaoption pricing |
| spellingShingle | Emilia Fraszka-Sobczyk Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model Acta Universitatis Lodziensis. Folia Oeconomica cox‑ross‑rubinstein model (crr model) binomial model black‑scholes formula option pricing |
| title | Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model |
| title_full | Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model |
| title_fullStr | Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model |
| title_full_unstemmed | Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model |
| title_short | Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model |
| title_sort | limiting cases of the black scholes type asymptotics of call option pricing in the generalised crr model |
| topic | cox‑ross‑rubinstein model (crr model) binomial model black‑scholes formula option pricing |
| url | https://czasopisma.uni.lodz.pl/foe/article/view/14109 |
| work_keys_str_mv | AT emiliafraszkasobczyk limitingcasesoftheblackscholestypeasymptoticsofcalloptionpricinginthegeneralisedcrrmodel |