par Antoniou, Ioannis ;Ivanov, Victor V.V.;Kryanev, A.V.
Référence Journal of computational methods in sciences and engineering, 2, 1-2, page (105-109)
Publication Publié, 2002
Article révisé par les pairs
Résumé : The conventional models of option pricing are based on the artificial proposition of the market neutrality to the risk, which is equivalent to the assumption that the expected return μ, equals the risk-free return r. However, in real markets μ may significantly differ from r. This may lead to the noticeable difference between model and real values of option prices. We consider here a modification of the Cox-Ross-Rubenstein binomial model that takes into account the dependence of option prices on μ.