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Binomial Option Pricing, the Black-Scholes Option Pricing Formula, and Exotic Options
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| Mathematica in Education and Research |
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The authors show that in the limit the binomial option model considered in their first article converges to the Black-Scholes option pricing formula. They then consider the pricing of "exotic" options, whose value depends on the price path of the underlying asset.
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| Black-Scholes.nb (107.5 KB) - Mathematica Notebook |
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