Binomial Options Pricing Has No Closed-Form Solution

5 Pages Posted: 11 Dec 2014

See all articles by Evangelos Georgiadis

Evangelos Georgiadis

Massachusetts Institute of Technology (MIT)

Date Written: February 28, 2011


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.

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

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:

Evangelos Georgiadis (Contact Author)

Massachusetts Institute of Technology (MIT) ( email )

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