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A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets · Study

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PreprintA Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets

Don M. Chance2007

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Preprintgreen2007

A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets

41 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 1979Option pricing: A simplified approach 1988A Lattice Framework for Option Pricing with Two State Variables 1979Two-State Option Pricing 1998The exercise and valuation of executive stock options 1999The adaptive mesh model: a new approach to efficient option pricing 1991A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments

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2015Corporate Social Responsibility: A Real Options Approach to the Challenge of Financial Sustainability

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2012Finite-Element Methodschapter · 8 shared references 2007An Improved Binomial Lattice Method for Multi‐Dimensional Optionsarticle · 8 shared references 1999The random-time binomial modelarticle · 8 shared references 2002Decision Making Under Uncertainty—Real Options to the Rescue?article · 7 shared references 1997Recent Advances in Numerical Methods for Pricing Derivative Securitieschapter · 7 shared references 2002On the enhanced convergence of standard lattice methods for option pricingarticle · 7 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations41

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.969834

openalex_workW3123780353

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