A Note on Parameters in Binomial Option Pricing
|Author(s):||Garry de Jager|
|Date of publication:||May 1991|
|Working paper number:||2|
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)|