Fadugba, S. Emmanuel and Okunlola, J. Temitayo and Adeyemo, O. Adesina (2012) ON THE STRENGTH AND WEAKNESS OF BINOMIAL MODEL FOR PRICING VANILLA OPTIONS. ON THE STRENGTH AND WEAKNESS OF BINOMIAL MODEL FOR PRICING VANILLA OPTIONS, 1 (1). pp. 1-10. ISSN 2278-6252
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Abstract
This paper presents binomial model for pricing vanilla options. Binomial model can be used to accurately price American style options than the Black-Scholes model as it takes into consideration the possibilities of early exercise and other factors like dividends. The strength and weakness of this model were considered. This model is both computationally efficient and accurate but not adequate to deal with path dependent options.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | American Option, Binomial Model, Black Scholes Model, European Option, Vanilla option. |
| Subjects: | L Education > L Education (General) |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Physics |
| Depositing User: | Mr. Victor Sebiotimo |
| Date Deposited: | 12 Mar 2019 16:32 |
| Last Modified: | 12 Mar 2019 16:32 |
| URI: | http://eprints.abuad.edu.ng/id/eprint/74 |
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