Pricing put options binomial model 64


Model put binomial options pricing 64


An exact analytical solutionwith the Black-Scholes model optione the American options is notpossible, because of the complexity of the boundary conditions(see subsection 11.2.4).The binomial model breaks down the time to expiration of an optioninto potentially very large number of time intervals, or steps. Atree of stock prices is opfions produced, moving forward fromthe present to expiration. That is to say, the owner of the portfolioowns h shares of the stock and then sells (writes) one call withan expiration date of one period.




Pricing put options binomial model 64

Pricing put options binomial model 64

Pricing put options binomial model 64



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