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This project examines stock option financial pricing model in the discrete world. Initially we introduce the concept and definitions that allow us to deliver a simple binomial tree model. By shifting to the continuous world, we understand how to make some changes in the initial model in order to make it better. We then apply those changes, such as accounting for drift, in our second discrete model.
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This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.
Lobao Gadelha, Carlos, "Option Pricing Model on the Discrete World" (2014). Senior Projects Spring 2014. 115.
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