A Simple Derivation of Risk-Neutral Probability in the Binomial Option Pricing Model

The traditional derivation of risk-neutral probability in the binomial option pricing framework used in introductory mathematical finance courses is straightforward, but employs several different concepts and is is not algebraically simple. In order to overcome this drawback of the standard approach, we provide an alternative derivation

MoreLess

Year of publication:	2019
Authors:	Orosi, Greg
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Derivat \| Derivative \| Wahrscheinlichkeitsrechnung \| Probability theory \| Black-Scholes-Modell \| Black-Scholes model

Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Mathematical Education in Science and Technology, Vol. 46, No. 1, 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 24, 2014 erstellt
Other identifiers:	10.2139/ssrn.2428763 [DOI]
Classification:	A20 - Economics Education and Teaching of Economics. General ; A22 - Undergraduate ; A23 - Graduate ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012904924