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Relevant bibliographies by topics / The Cox-Ross-Rubinstein model

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Academic literature on the topic 'The Cox-Ross-Rubinstein model'

Author: Grafiati

Published: 24 April 2022

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Journal articles on the topic "The Cox-Ross-Rubinstein model"

1

Motoczyński, Michał, and Łukasz Stettner. "On option pricing in the multidimensional Cox-Ross-Rubinstein model." Applicationes Mathematicae 25, no. 1 (1998): 55–72. http://dx.doi.org/10.4064/am-25-1-55-72.

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2

Wrede, Marcus, and Norbert Schmitz. "Variations of the Cox-Ross-Rubinstein model - conservative pricing strategies." Mathematical Methods of Operations Research (ZOR) 53, no. 3 (2001): 505–15. http://dx.doi.org/10.1007/s001860100126.

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3

Carassus, Laurence, and Tiziano Vargiolu. "Super-replication price: it can be ok." ESAIM: Proceedings and Surveys 64 (2018): 54–64. http://dx.doi.org/10.1051/proc/201864054.

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We consider a discrete time financial model where the support of the conditional law of the risky asset is bounded. For convex options we show that the super-replication problem reduces to the replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries. Thus the super-replication price can be of practical use if this support is not to large. We also make the link with the recent literature on multiple-priors models.

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4

Hunzinger, Chadd B., and Coenraad C. A. Labuschagne. "The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs." North American Journal of Economics and Finance 29 (July 2014): 200–217. http://dx.doi.org/10.1016/j.najef.2014.06.002.

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5

Wolczyńska, Grażyna. "An Explicit Formula for Option Pricing in Discrete Incomplete Markets." International Journal of Theoretical and Applied Finance 01, no. 02 (1998): 283–88. http://dx.doi.org/10.1142/s0219024998000151.

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Some aspects of the pricing of European call option are disscussed. We consider the simplest case of an incomplete market in the situation when the model of the market is discrete and increments of shares prices have a multinomial distribution. We look for similarities between this model and the model of Cox, Ross and Rubinstein. In particular we consider the possibility of using induction backwards and we look for an optimal price and strategy using the method of risk-minimization step by step from the date of realization T to 0.

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6

LINARAS, CHARILAOS E., and GEORGE SKIADOPOULOS. "IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS." International Journal of Theoretical and Applied Finance 08, no. 08 (2005): 1085–106. http://dx.doi.org/10.1142/s0219024905003359.

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This paper examines the pricing performance of various discrete-time option models that accept the variation of implied volatilities with respect to the strike price and the time-to-maturity of the option (implied volatility tree models). To this end, data from the S&P 100 options are employed for the first time. The complex implied volatility trees are compared to the standard Cox–Ross–Rubinstein model and the ad-hoc traders model. Various criteria and interpolation methods are used to evaluate the performance of the models. The results have important implications for the pricing accuracy

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7

Castro, Isabel, and Carlos G. Pacheco. "Modeling and pricing with a random walk in random environment." International Journal of Financial Engineering 07, no. 04 (2020): 2050053. http://dx.doi.org/10.1142/s242478632050053x.

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We propose a parsimonious model for financial pricing that incorporates the existence of a random environment; such construction can be though as an extension of the Cox–Ross–Rubinstein (CRR) model. Our model is motivated from the Sinai random walk, but we mention the difficulty of applying such model if we try to use it with the CRR procedure. As it was done with Sinai’s walk, we provide a method to connect the most visited sites of the model with the minimum points of a function of the environment. We present some simulations and a numerical experiment to bring a new perspective.

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8

Llemit, Dennis G. "On a recursive algorithm for pricing discrete barrier options." International Journal of Financial Engineering 02, no. 04 (2015): 1550047. http://dx.doi.org/10.1142/s2424786315500474.

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An alternative and simple algorithm for valuating the price of discrete barrier options is presented. This algorithm computes the price just exactly the same as the Cox–Ross–Rubinstein (CRR) model. As opposed to other pricing methodologies, this recursive algorithm utilizes only the terminal nodes of the binomial tree and it captures the intrinsic property, the knock-in or knock-out feature, of barrier options. In this paper, we apply the algorithm to compute the price of an Up and Out Put (UOP) barrier option and compare the results obtained from the CRR model. We then determine the time comp

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9

HEUWELYCKX, FABIEN. "CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL." International Journal of Theoretical and Applied Finance 17, no. 04 (2014): 1450025. http://dx.doi.org/10.1142/s0219024914500253.

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In this paper, we study the convergence of a European lookback option with floating strike evaluated with the binomial model of Cox–Ross–Rubinstein to its evaluation with the Black–Scholes model. We do the same for its delta. We confirm that these convergences are of order [Formula: see text]. For this, we use the binomial model of Cheuk–Vorst which allows us to write the price of the option using a double sum. Based on an improvement of a lemma of Lin–Palmer, we are able to give the precise value of the term in [Formula: see text] in the expansion of the error; we also obtain the value of the

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10

Tehranchi, Michael R. "On the Uniqueness of Martingales with Certain Prescribed Marginals." Journal of Applied Probability 50, no. 2 (2013): 557–75. http://dx.doi.org/10.1239/jap/1371648961.

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This note contains two main results. (i) (Discrete time) Suppose that S is a martingale whose marginal laws agree with a geometric simple random walk. (In financial terms, let S be a risk-neutral asset price and suppose that the initial option prices agree with the Cox-Ross-Rubinstein binomial tree model.) Then S is a geometric simple random walk. (ii) (Continuous time) Suppose that S=S0eσ X-σ2〈 X〉/2 is a continuous martingale whose marginal laws agree with a geometric Brownian motion. (In financial terms, let S be a risk-neutral asset price and suppose that the initial option prices agree wit

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