Limiting Cases of the Black‑Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model
نویسندگان
چکیده
The article concerns the generalised Cox‑Ross‑Rubinstein (CRR) option pricing model with new formulas for changes in upper and lower stock prices. formula option this model, which is Black‑Scholes type formula, its asymptotics are presented. aim of paper to analyse limiting cases obtained asymptotics using probability theory later data from Warsaw Stock Exchange. Empirical analyses generalised CRR confirm calculated limits.
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ژورنال
عنوان ژورنال: Acta Universitatis Lodziensis
سال: 2023
ISSN: ['2449-6820', '1427-9665']
DOI: https://doi.org/10.18778/0208-6018.363.01