دورية أكاديمية
Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model
| العنوان: | Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model |
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| المؤلفون: | Emilia Fraszka-Sobczyk |
| المصدر: | Acta Universitatis Lodziensis. Folia Oeconomica, Vol 2, Iss 363, Pp 1-24 (2023) |
| بيانات النشر: | Lodz University Press, 2023. |
| سنة النشر: | 2023 |
| المجموعة: | LCC:Marketing. Distribution of products LCC:Finance |
| مصطلحات موضوعية: | cox‑ross‑rubinstein model (crr model), binomial model, black‑scholes formula, option pricing, Marketing. Distribution of products, HF5410-5417.5, Finance, HG1-9999 |
| الوصف: | The article concerns the generalised Cox‑Ross‑Rubinstein (CRR) option pricing model with new formulas for changes in upper and lower stock prices. The formula for option pricing in this model, which is the Black‑Scholes type formula, and its asymptotics are presented. The aim of the paper is to analyse limiting cases of the obtained asymptotics using probability theory and later data from the Warsaw Stock Exchange. Empirical analyses of option pricing in the generalised CRR model confirm the calculated limits. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English Polish |
| تدمد: | 0208-6018 2353-7663 |
| Relation: | https://czasopisma.uni.lodz.pl/foe/article/view/14109; https://doaj.org/toc/0208-6018; https://doaj.org/toc/2353-7663 |
| DOI: | 10.18778/0208-6018.363.01 |
| URL الوصول: | https://doaj.org/article/6bbb94977a674c5ca79d502ef7df15a7 |
| رقم الأكسشن: | edsdoj.6bbb94977a674c5ca79d502ef7df15a7 |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 02086018 23537663 |
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| DOI: | 10.18778/0208-6018.363.01 |