Binomial options pricing has no closed-form solution

被引：4

作者：

Georgiadis, Evangelos ^{[1
]}

机构：

[1] MIT, Cambridge, MA 02139 USA

来源：

ALGORITHMIC FINANCE | 2011年 / 1卷 / 01期

关键词：

D O I：

10.3233/AF-2011-003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We set a lower bound on the complexity of options pricing formulae in the lattice metric by proving that no general explicit or closed form (hypergeometric) expression for pricing vanilla European call and put options exists when employing the binomial lattice approach. Our proof follows from Gosper's algorithm.

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收藏

页码：13 / 16

页数：4

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