Financial

Binomial option pricing model

Also found in: Acronyms.

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.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.
Mentioned in
References in periodicals archive
Han, "The Fuzzy Binomial Option Pricing Model under Knightian Uncertainty," in Proceedings of the 2009 Sixth International Conference on Fuzzy Systems and Knowledge Discovery, pp.
A New Default Probability Calculation Formula and Its Application under Uncertain Environments
She used the Cox, Ross, and Rubinstein's (1979) Binomial Option Pricing model (BOP) to estimate the contract valuation.
Actuarially fair premia for deductible insurance policies
A binomial option pricing model (Hull, 2008; Luenberger, 1998) based on the standard risk-neutral valuation approach (Trigeorgis, 1996) is used to evaluate the flexible lease with the cancelation option under the uncertainty about the future corporate rental rate as summarized below.
Valuation of flexible leases for corporate tenants facing uncertainty in their required workspace/ Lanksciosios nuomos komerciniams nuomininkams vertinimas, esant netikrumui del reikiamo darbo ploto
For example, Evnine and Rudd (1985) use intraday data for a two-month period in 1984 and find frequent violations of boundary conditions and put-call parity for S&P 100 and Major Market index options, both of which are American options.(5) Evnine and Rudd further conclude that these options are significantly mispriced relative to theoretical values based on the binomial option pricing model. Chance (1987) also finds that put-call parity and the box spread are violated frequently for S&P 100 index options and that the violations are significant in size.(6) However, these results may not indicate market inefficiency for several reasons.
Evidence on the Efficiency of Index Options Markets
Copyright © 2003-2025 Farlex, Inc Disclaimer
All content on this website, including dictionary, thesaurus, literature, geography, and other reference data is for informational purposes only. This information should not be considered complete, up to date, and is not intended to be used in place of a visit, consultation, or advice of a legal, medical, or any other professional.