Numerical Approaches of Pricing European Options in The Cox-Ross-Rubenstein Models

Authors

Hai Phan, DePauw University
Seonguk Kim PhD, DePauw University

Files

Document Type

Poster

Publication Date

Fall 2021

Abstract

The Cox-Ross-Rubinstein (CRR) market mode is used to price European and American Options without complex elements, including dividends, stocks, and stock indexes paying a continuous dividend yield, futures, and currency options. The model is an elegant, simple, but strong model to explain the general economic intuition behind option pricing and its principal techniques. In the paper, the CRR model's numerical elements and equations are indicated, and a practical event is examined to demonstrate the application of the model in the financial market. To make it easier to understand, figures, including tables and graphs, are also included to visualize and simplify the model and output data.

Funding and Acknowledgements

The project was supported by the Asher Fund for the Sciences at DePauw University, The Tenzer Technology Initiative, and performed for summer research project 2021.

Recommended Citation

Phan, Hai and Kim, Seonguk PhD, "Numerical Approaches of Pricing European Options in The Cox-Ross-Rubenstein Models" (2021). Annual Student Research Poster Session. 79.
https://scholarship.depauw.edu/srfposters/79