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

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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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Autore / responsabile

Emilia Fraszka-Sobczyk

Editore

Lodz University Press

Anno

2023

ISSN

0208-6018

ISSN

0208-6018

Lingua

Inglés

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

Autore / collaboratori: Emilia Fraszka-Sobczyk

Editore: Lodz University Press

Anno di pubblicazione: 2023

ISSN: 0208-6018

ISSN: 0208-6018

Lingua: Inglés

Soggetti

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