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Binomial call-price recursion
...
Mathematics
Area of mathematics
Mathematical optimization
Mathematical finance
Fundamental theorem of asset pricing
European call option
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Words: 25
Conditioning on the first binomial move expresses a call with
N
+
1
periods as a positive weighted sum of two
N
-period calls with rescaled strikes.
Ancestors
(7)
European call option
Fundamental theorem of asset pricing
Mathematical finance
Mathematical optimization
Area of mathematics
Mathematics
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