Showing 1 - 3 results of 3 for search '"Cox–Ross–Rubinstein model"', query time: 0.55s Refine Results
  1. 1
    Random Cox-Ross-Rubinstein Model and Plain Vanilla Options

    Random Cox-Ross-Rubinstein Model and Plain Vanilla Options by Ganikhodjaev, Nasir, Bayram, Kamola

    Published 2013
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    Article
  2. 2
    Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model

    Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model by Emilia Fraszka-Sobczyk

    Published 2023-07-01
    Subjects: “…cox‑ross‑rubinstein model (crr model)…”
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    Article
  3. 3
    Super-replication price: it can be ok

    Super-replication price: it can be ok by Carassus Laurence, Vargiolu Tiziano

    Published 2018-01-01
    “…For convex options we show that the super-replication problem reduces to the replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries. …”
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    Article

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