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http://ssrn.com/abstract=1773170
 
 

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Binomial Options Pricing Has No Closed-Form Solution


Evangelos Georgiadis


Massachusetts Institute of Technology (MIT)

February 28, 2011

Algorithmic Finance, Vol. 1, No. 1, 2011

Abstract:     
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.

Number of Pages in PDF File: 5

Keywords: algorithmic finance, complexity, options, hypergeometric, closed form


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Date posted: December 11, 2014  

Suggested Citation

Georgiadis, Evangelos, Binomial Options Pricing Has No Closed-Form Solution (February 28, 2011). Algorithmic Finance, Vol. 1, No. 1, 2011. Available at SSRN: http://ssrn.com/abstract=1773170

Contact Information

Evangelos Georgiadis (Contact Author)
Massachusetts Institute of Technology (MIT) ( email )
77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States
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