《金融学教学讲义》chpt.pptVIP

* 6 Two-State (Binary) Option-Pricing We are now going to derive a relatively simple model for evaluating options The assumptions will at first appear totally unrealistic, but using some underhand mathematics, the model may be made to price options to any desired level of accuracy The advantage of the method is that it does not require learning stochastic calculus, and yet it illustrates all the key steps necessary to derive any option evaluation model * Binary Model Assumptions Assume: the exercise price is equal to the forward price of the underlying stock option prices then depend only on