Finance Discipline Group
UTS Business School
University of Technology, Sydney

Working Paper Series

Title:
A Note on Parameters in Binomial Option Pricing
Author(s): Garry de Jager
Date of publication: May 1991
Working paper number: 2
Abstract:
This paper outlines some difficuilties, including arbitrage possibilities, with published binomial option pricing parameters. A new set of parameters are developed, and tested under exacting conditions against the more popular choices.
Paper: Download (Format: PDF, Size: 545 Kb)