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Binomial options pricing has no closed-form solution

Wed, 30 May 2012 07:37:31 GMT

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.

  • Content Type Journal Article
  • Pages 13-16
  • DOI 10.3233/AF-2011-003
  • Authors
    • Evangelos Georgiadis,

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