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Binomial Option Pricing

George Constantinides

Chapter 7 in Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 107-122 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionThe General One-Stage Binomial ModelRisk-Adjusted ProbabilitiesThe Black–Scholes–Merton InsightDynamic ReplicationPortfolio InsuranceThe General Binomial Model

Keywords: Futures; Forwards; Options; Corporate Securities; Derivatives; Hedging; Risk Management (search for similar items in EconPapers)
Date: 2015
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