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“…A direct application of binomial option models can produce inconsistent results in that call and put prices may not satisfy parity relationships. (See Bookstaber, Jacob, and Langsam (1986), Cox, Ross, and Rubinstein (1979), Pitts (1985), and Rendelman and Bartter (1980).) Furthermore such models typically do not use information from the yield curve. …”
mentioning
confidence: 99%
“…A direct application of binomial option models can produce inconsistent results in that call and put prices may not satisfy parity relationships. (See Bookstaber, Jacob, and Langsam (1986), Cox, Ross, and Rubinstein (1979), Pitts (1985), and Rendelman and Bartter (1980).) Furthermore such models typically do not use information from the yield curve. …”
mentioning
confidence: 99%
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