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A simple derivation of risk-neutral probability in the binomial option pricing model - MaRDI portal

A simple derivation of risk-neutral probability in the binomial option pricing model

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Publication:5247648

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DOI10.1080/0020739X.2014.936979zbMath1317.97008MaRDI QIDQ5247648

Publication date: 27 April 2015

Published in: International Journal of Mathematical Education in Science and Technology (Search for Journal in Brave)

zbMATH Keywords

option pricing derivative arbitrage-free pricing risk-neutral probability

Mathematics Subject Classification ID

Combinatorial probability (60C05) Derivative securities (option pricing, hedging, etc.) (91G20) Operations research, economics (aspects of mathematics education) (97M40) Probability theory (educational aspects) (97K50) Distributions and stochastic processes (educational aspects) (97K60)

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Cites Work

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