Binomial option pricing model


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Binomial option pricing model

An option pricing model in which the underlying asset can assume one of only two possible, discrete values in the next time period for each value that it can take on in the preceding time period.
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He is famous for his work on the binomial option pricing model (the Cox-Ross-Rubinstein model) and, along with John Cox, authored Options Markets, a text that has been required reading in graduate level courses on option pricing for many years.