Chung, San-Lin; Shih, Pai-Ta - In: Management Science 53 (2007) 3, pp. 508-520
This paper generalizes the seminal Cox-Ross-Rubinstein (CRR) binomial model by adding a stretch parameter. The generalized CRR (GCRR) model allows us to fine-tune (via the stretch parameter) the lattice structure so as to efficiently price a range of options, such as barrier options. Our...
