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Multinomial Option Pricing Model

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Handbook of Quantitative Finance and Risk Management

Abstract

In this chapter, we extend the binomial option pricing model to a multinomial option pricing model. Then we derive the multinomial option pricing model and apply it to the limiting case of Black and Scholes model. Finally, we introduce a lattice framework for option pricing model and its application to option valuation.

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References

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Author information

Authors and Affiliations

  1. Rutgers University, Newark, NJ, USA

    Cheng Few Lee

  2. National Chiao Tung University, Hsinchu, Taiwan

    Jack C. Lee

Authors
  1. Cheng Few Lee
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  2. Jack C. Lee
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Corresponding author

Correspondence to Cheng Few Lee .

Editor information

Editors and Affiliations

  1. Department of Finance and Economics, Rutgers University, 94 Rockafeller Road, Janice H. Levin Bldg., New Brunswick, NJ, 08854-8054, USA

    Cheng-Few Lee

  2. State Street Corp., Boston, MA, 94132, USA

    Alice C. Lee

  3. Center for PBBEF Research, North Brunswick, NJ, USA

    John Lee

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Lee, C.F., Lee, J.C. (2010). Multinomial Option Pricing Model. In: Lee, CF., Lee, A.C., Lee, J. (eds) Handbook of Quantitative Finance and Risk Management. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-77117-5_25

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