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• Published Subscription 5 Dec 2018

  Evaluation of Options using The Cox-Ross-Rubinshtein Mathematical Model

  By Chetna Sharma

  Abstract: Using complex mathematical formulas, we can calculate the reasonable value of an option.The Cox-Ross-Rubinstein model takes into account factors that are not considered in the Black-Scholes model and is an improved version of the binomial model. At the same time, the Cox-Ross-Rubinshtein model gives results close to the Black-Scholes model. The difference between these two models is that the Cox Ross Rubinstein modeltakes into account the possibility of early execution …

  Published in Journal of Communication Engineering & Systems · Vol. 8, Issue 2, 2018 · pp. 47–50 Read article →