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Option Pricing: The Discrete-Time Approach For Stock Options

In: Derivatives, Risk Management & Value

Author

Listed:
  • Mondher Bellalah

    (Université de Cergy-Pontoise, France)

Abstract

The following sections are included:Chapter OutlineIntroductionThe CRR Model for Equity OptionsThe mono-periodic modelThe multiperiodic modelApplications and examplesApplications of the CRR model within two periodsOther applications of the binomial model of CRR for two periodsApplications of the binomial model of CRR for three periodsExamples with five periodsThe Binomial Model and the Distributions to the Underlying AssetsThe Put-Call parity in the presence of several cash-distributionsEarly exercise of American stock optionsThe modelSimulations for a small number of periodsSimulations in the presence of two dividend datesSimulations for different periods and several dividends: The general caseSummaryQuestionsAppendix: The Lattice ApproachExercisesReferences

Suggested Citation

  • Mondher Bellalah, 2009. "Option Pricing: The Discrete-Time Approach For Stock Options," World Scientific Book Chapters, in: Derivatives, Risk Management & Value, chapter 4, pages 221-258, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812838636_0004
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