Evaluation of fair price of an option for a generalized model of the Cox-Ross-Rubinstein in the case of m-states

Abstract

Evaluation of fair price of an option for a generalized model of the Cox-Ross-Rubinstein in the case of m-states

M.N. Bogacheva, L.I. Pryanishnikova

Incoming article date: 04.12.2013

Discusses the assessment of the fair price of an option for a generalized model of the Cox-Ross-Rubinstein in the case of m-States. Formulated approval. Based on the findings obtained in the work built a software application that allows you to make calculations.

Keywords: model Cox-Ross-Rubinstein, the fair price of an option risky asset, interest rate