On the Relation Between Binomial and Trinomial Option Pricing Models

Mark Rubinstein

Research Program in Finance, Working Paper Series from Research Program in Finance, Institute for Business and Economic Research, UC Berkeley

Abstract: This paper shows that the binomial option pricing model, suitably parameterized, is a special case of the explicit finite difference method.

Keywords: binomial option pricing model; trinomial; explicit finite difference (search for similar items in EconPapers)
Date: 2000-05-01
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Citations: View citations in EconPapers (6)

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