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Binomial Model for European Options

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Chapter
Part of the Universitext book series (UTX)

Abstract

A large range of options exist for which the boundary conditions of the Black–Scholes differential equation are too complex to solve analytically, an example being the American option.

References

  1. Baxter, M., & Rennie, A. (1996). Financial calculus: An introduction to derivative pricing. Cambridge: Cambridge University Press.CrossRefGoogle Scholar
  2. Cox, J., Ross, S., & Rubinstein, M. (1979). Option pricing: a simplified approach. Journal of Financial Economics, 7, 229–263.MathSciNetCrossRefGoogle Scholar
  3. Dewynne, J., Howison, S., & Wilmott, P. (1993). Mathematical models and computation. Oxford University Press.zbMATHGoogle Scholar

Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.Department of MathematicsTechnische Universität KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of StatisticsHumboldt-Universität BerlinBerlinGermany
  3. 3.Louvain Institute of Data Analysis and Modeling in Economics and StatisticsUCLouvainLouvain-la-NeuveBelgium

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