The aim of this paper is to find the value of the option that provides a payoff at some future date based on the value of a non-dividend paying share at the future date using a Binomial or lattice model to calculate the value of the derivative at time . We will show that how to fi...
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These works assume that the fluctuations in underlying asset prices are governed by the hypothesis of a conventional option valuation model which, in continuous time, is often the geometric Brownian motion that underlies BSM and, in discrete time, the binomial framework by Cox, Ross, and ...