Showing papers on "Binomial options pricing model published in 1986"
TL;DR: In this paper, a general jump process option pricing model is derived via an analysis of the limit-theoretic behavior of the binomial option pricing formula, which is based on the central limit theorem known as Poisson's limit theorem.
Abstract: The following paper presents a general derivation of the jump process option pricing for? mula. In particular, a general jump process formula is derived via an analysis of the limit? ing behavior of the binomial option pricing formula. In deriving the formula, a very sim? ple central limit theorem known as Poisson's Limit Theorem is applied. The simplicity of the analysis allows the establishment of precisely the connections between the specifica? tion of the underlying binomial stock return process and the specific form of the corre? sponding continuous-time jump process formula. Several examples are provided to illus?
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