On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option

On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option

The fundamental objective of this paper is twofold. Firstly, to derive the Cox-Ross-Rubinstein type new formula for risk neutral pricing of European compound call option, where the underlying asset is also a European call option. Thirdly, to prove that our newly derived CRR risk neutral pricing form...

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Bibliographic Details
Main Authors: Javed Hussain, Bareerah Khan
Format: Article
Language:English
Published: Etamaths Publishing 2020-01-01
Series:International Journal of Analysis and Applications
Online Access:http://etamaths.com/index.php/ijaa/article/view/2026
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spelling doaj-2ea28a3f6d104bb79652b45996e589682021-08-26T13:44:40ZengEtamaths PublishingInternational Journal of Analysis and Applications2291-86392020-01-01181129148433On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound OptionJaved Hussain0Bareerah KhanSukkur IBA University Pakistan; University of York UKThe fundamental objective of this paper is twofold. Firstly, to derive the Cox-Ross-Rubinstein type new formula for risk neutral pricing of European compound call option, where the underlying asset is also a European call option. Thirdly, to prove that our newly derived CRR risk neutral pricing formula for compound call option, converges in distribution to the well known, continuous time Black-Scholes formula for pricing the compound call option on call.http://etamaths.com/index.php/ijaa/article/view/2026
collection DOAJ
language English
format Article
sources DOAJ
author Javed Hussain
Bareerah Khan
spellingShingle Javed Hussain
Bareerah Khan
On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option
International Journal of Analysis and Applications
author_facet Javed Hussain
Bareerah Khan
author_sort Javed Hussain
title On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option
title_short On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option
title_full On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option
title_fullStr On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option
title_full_unstemmed On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option
title_sort on cox-ross-rubinstein pricing formula for pricing compound option
publisher Etamaths Publishing
series International Journal of Analysis and Applications
issn 2291-8639
publishDate 2020-01-01
description The fundamental objective of this paper is twofold. Firstly, to derive the Cox-Ross-Rubinstein type new formula for risk neutral pricing of European compound call option, where the underlying asset is also a European call option. Thirdly, to prove that our newly derived CRR risk neutral pricing formula for compound call option, converges in distribution to the well known, continuous time Black-Scholes formula for pricing the compound call option on call.
url http://etamaths.com/index.php/ijaa/article/view/2026
work_keys_str_mv AT javedhussain oncoxrossrubinsteinpricingformulaforpricingcompoundoption
AT bareerahkhan oncoxrossrubinsteinpricingformulaforpricingcompoundoption
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