Binomial options pricing has no closed-form solution

Evangelos Georgiadis ()
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Evangelos Georgiadis: M.I.T., USA, Postal: M.I.T. Cambridge, MA 02139 USA

Algorithmic Finance, 2011, vol. 1, issue 1, 13-16

Abstract: We set a lower bound on the complexity of options pricing formulae in the lattice metric by proving that no general explicit or closed form (hypergeometric) expression for pricing vanilla European call and put options exists when employing the binomial lattice approach. Our proof follows from Gosper’s algorithm

JEL-codes: C02 C15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:iosalg:0002

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