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- W3122877690 abstract "This paper reexamines the relationship between investors' preferences and the binomial option pricing model of Cox, Ross, and Rubinstein (CRR). It is shown that the independence of the binomial option pricing model from investors' preferences is a result of a special choice of binomial parameters made by CRR. For a more general choice of binomial parameters, risk neutrality cannot be obtained in discrete time. This analysis reveals the essential difference between the “risk neutral” valuation approach of Cox and Ross and the equivalent martingale approach of Harrison and Kreps in a discrete time framework." @default.
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- W3122877690 date "1995-08-01" @default.
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- W3122877690 title "The Binomial Model and Risk Neutrality: Some Important Details" @default.
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- W3122877690 doi "https://doi.org/10.1111/j.1540-6288.1995.tb00848.x" @default.
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