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Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model

Emilia Fraszka-Sobczyk · Lodz University Press · 2023

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Author / responsible party
Emilia Fraszka-Sobczyk
Publisher
Lodz University Press
Year
2023
ISSN
0208-6018
ISSN
0208-6018
Language
English

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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.

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APA 7

Fraszka-Sobczyk, E. (2023). Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model. https://doi.org/10.18778/0208-6018.363.01

MLA

Fraszka-Sobczyk, Emilia. "Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model." 2023. https://doi.org/10.18778/0208-6018.363.01.

Chicago

Fraszka-Sobczyk, Emilia. 2023. "Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model.". https://doi.org/10.18778/0208-6018.363.01.

Harvard

Fraszka-Sobczyk, E. 2023, Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model, Lodz University Press, available at: https://doi.org/10.18778/0208-6018.363.01 [Accessed 7 Aug. 2026].

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Title
Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model
Author / contributors
Emilia Fraszka-Sobczyk
Publisher
Lodz University Press
Publication year
2023
ISSN
0208-6018
ISSN
0208-6018
Language
English

Subjects

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cox‑ross‑rubinstein model (crr model); binomial model; black‑scholes formula; option pricing
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