You are viewing a javascript disabled version of the site. Please enable Javascript for this site to function properly.
Go to headerGo to navigationGo to searchGo to contentsGo to footer
In content section. Select this link to jump to navigation

Binomial options pricing has no closed-form solution

Article type: Research Article

Authors: Georgiadis, Evangelos

Affiliations: M.I.T. Cambridge, MA 02139 USA. E-mail: [email protected]

Abstract: We set a lower bound on the complexity of options pricing formulae in the lattice metric by proving that no general explicit or closed form (hypergeometric) expression for pricing vanilla European call and put options exists when employing the binomial lattice approach. Our proof follows from Gosper's algorithm.

DOI: 10.3233/AF-2011-003

Journal: Algorithmic Finance, vol. 1, no. 1, pp. 13-16, 2011

Published: 23 December 2011
Price: EUR 27.50
Show less