5 Pages Posted: 11 Dec 2014
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: 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: https://ssrn.com/abstract=1773170