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Option pricing in CRR model with time dependent parameters for two periods of time - part II

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Fraszka-Sobczyk E., Chojnowska-Michalik A.

Bulletin de la Société des Sciences et des Lettres de Łódź, Série: Recherches sur les déformations

2019

vol. 69

issue 1

91-108

model Coxa-Rossa-Rubinsteina, model CRR, wzór Blacka-Scholesa, wycena opcji

In the second part of the paper we prove the convergence of option prices in the presented model to the price that is given by some formula corresponding to the Black-Scholes formula.

Option pricing in CRR model with time dependent parameters for two periods of time - part I

100%

Fraszka-Sobczyk E., Chojnowska-Michalik A.

Bulletin de la Société des Sciences et des Lettres de Łódź, Série: Recherches sur les déformations

2019

vol. 69

issue 1

83-90

W pracy przedstawiono pewien uogólniony model Coxa-Rossa-Rubinsteina na wycenę opcji. Założono, że dwa parametry modelu (stopa procentowa oraz współczynnik zmienności logarytmu cen akcji-volatility) zmieniają się w każdej z dwóch jednostek czasu.

In this paper we present some generalization of the Cox-Ross-Rubinstein (CRR) option pricing model. We assume that two parameters of the model (an interest rate of a bank account and a volatility of the logarithm of the stock price’s changes) are different in each of two analyzed periods of time.

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2 Bulletin de la Société des Sciences et des Lettres de Łódź, Série: Recherches sur les déformations

2 Chojnowska-Michalik A.

2 Fraszka-Sobczyk E.

2 2019

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Option pricing in CRR model with time dependent parameters for two periods of time - part II

Option pricing in CRR model with time dependent parameters for two periods of time - part I