Hunzinger, Chadd B.; Labuschagne, Coenraad C.A. - In: The North American Journal of Economics and Finance 29 (2014) C, pp. 200-217
The binomial asset pricing model of Cox, Ross and Rubinstein (CRR) is extensively used for the valuation of options. The CRR model is a discrete analog of the Black–Scholes–Merton (BSM) model. The 2008 credit crisis exposed the shortcomings of the oversimplified assumptions of the BSM model....
