Construct · 1 fields · 1 citations

binomial option pricing model: a standalone construct

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Finance

discrete-time option valuation in which the underlying price moves up or down each period and the option is priced by risk-neutral backward induction.

In finance, binomial option pricing model refers to discrete-time option valuation in which the underlying price moves up or down each period and the option is priced by risk-neutral backward induction. This meaning comes from Cox (1979) in Journal of Financial Economics.[1]

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Nearby constructs

backward induction2 fields · 2 citationsinvariant · one construct, two systems induction4 fields · 4 citationsjingle · one word, four constructs model3 fields · 3 citationsjingle · one word, three constructs

References

Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263. https://doi.org/10.1016/0304-405x(79)90015-1

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