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Binomial Option Pricing, the Black-Scholes Option Pricing Formula, and Exotic Options

S. Benninga
Z. Wiener
Journal / Anthology

Mathematica in Education and Research
Year: 1997
Volume: 6
Issue: 4
Page range: 11-14

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.

*Business and Economics
Related items

*The Binomial Option Pricing Model   [in Articles]
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Black-Scholes.nb (107.5 KB) - Mathematica Notebook