Abstract
AbstractFor a large range of options such as the American options the boundary conditions of the Black-Scholes differential equation are too complex to solve analytically. Therefore, one relies on numerical price computation. The best known method is to approximate the stock price process by a discrete time stochastic process, or, as in the approach followed by Cox, Ross, Rubinstein, to model the stock price process as a discrete time process from the start. The binomial model is a convenient tool for pricing European options.KeywordsStock PriceOption PriceCall OptionImplied VolatilityAmerican OptionThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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