The Cox—Ross—Rubinstein Model

J. C. Cox, S. A. Ross and M. Rubinstein

Chapter Chapter 12 in Mathematical Finance and Probability, 2003, pp 201-219 from Springer

Abstract: Abstract In this chapter we show how to apply the fundamental theorems of asset pricing to a simple but important example. The Cox—Ross—Rubinstein model is a multi-period generalization of the one-period model considered in Chapter 2. Building on this model and the central limit theorem, Chapter 14 will provide a complete derivation of the celebrated Black—Scholes option pricing formula.

Keywords: Option Price; Price Process; Strike Price; Price Formula; European Call Option (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-0348-8041-1_12

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DOI: 10.1007/978-3-0348-8041-1_12

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