A direct justification of the binomial pricing model as an approximation of the black-scholes formula
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نویسنده
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qu x.
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منبع
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pakistan journal of statistics - 2010 - دوره : 26 - شماره : 1 - صفحه:187 -193
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چکیده
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This paper pedagogically presents a proof of the binomial option pricing model as an approximation of the black-scholes formula. the proof only requires basic calculus and a direct approximation of the binomial probability by the normal distribution is used. © 2010 pakistan journal of statistics.
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کلیدواژه
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Binomial option pricing model; Black-scholes formula; European option
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آدرس
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department of mathematics and statistics,oakland university,rochester, United States
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