Binomial Option Pricing and Black-scholes
نویسنده
چکیده
This paper aims to investigate the assumptions under which the binomial option pricing model converges to the Black-Scholes formula. The results are not original; the paper mostly follows the outline of Cox, Ross, and Rubenstein[1]. However, the convergence is treated in greater detail than I have found elsewhere in the literature. This exercise clarifies the assumptions behind the binomial model and subsequent convergence results.
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تاریخ انتشار 2016