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anwonder
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Posts: 5
Joined: September 28th, 2011, 2:26 pm

Problem encountered in CRR Binomial Model for Options Pricin

September 29th, 2011, 4:24 pm

In addition, there is one more condition given which is d>0According to my math calc's, I find the following but I can't prove it to be greater than S-KAny advice would be much appreciated !
 
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croot
Posts: 104
Joined: July 23rd, 2006, 8:30 pm

Problem encountered in CRR Binomial Model for Options Pricin

September 29th, 2011, 11:02 pm

Maybe try the student forum? In short, google "two period CRR model" and "European call option" and "convex payoff" and "Jensen inequality".
Last edited by croot on September 29th, 2011, 10:00 pm, edited 1 time in total.
 
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gomer767
Posts: 69
Joined: September 28th, 2011, 1:43 pm

Problem encountered in CRR Binomial Model for Options Pricin

September 30th, 2011, 2:37 am

It's just lazy when the answer is on Wikipedia and you dont look there first.......http://www.sjsu.edu/faculty/watkins/binomial.htmsigh........
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