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Part of book or chapter of book . 1997 . Peer-reviewed

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The Cox-Ross-Rubinstein Model

Name: The Cox-Ross-Rubinstein Model
Keywords: 1. No poverty

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type 01 Jan 1997Publisher:Springer Berlin Heidelberg

Authors: Marek Musiela; Marek Rutkowski;

doi: 10.1007/978-3-662-22132-7_2

The Cox-Ross-Rubinstein Model

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Abstract

A European call option written on one share of a stock S, which pays no dividends during the option’s lifetime, is formally equivalent to the claim X whose payoff at time T is contingent on the stock price S T , and equals $$ X = {({S_T} - K)^ + }\mathop {{\text{ }} = }\limits^{def} \max \{ {S_T} - {\mkern 1mu} K,0\} . $$ (2.1)

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1. No poverty

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SDGs:

1. No poverty,

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