Option pricing in CRR model with time dependent parameters for two periods of time - part I
Keywords:
Cox-Ross-Rubinstein model (CRR model), Black-Scholes formula, option pricingAbstract
In this paper we present some generalization of the Cox-Ross-Rubinstein (CRR) option pricing model. We assume that two parameters of the model (an interest rate of a bank account and a volatility of the logarithm of the stock price’s changes) are different in each of two analyzed periods of time.
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