id: 06430662
dt: j
an: 2015c.00924
au: Orosi, Greg
ti: A simple derivation of risk-neutral probability in the binomial option
pricing model.
so: Int. J. Math. Educ. Sci. Technol. 46, No. 1, 142-147 (2015).
py: 2015
pu: Taylor \& Francis, Abingdon, Oxfordshire
la: EN
cc: M45 K55 K65
ut: derivative; arbitrage-free pricing; option pricing; risk-neutral
probability
ci:
li: doi:10.1080/0020739X.2014.936979
ab: Summary: The traditional derivation of risk-neutral probability in the
binomial option pricing framework used in introductory mathematical
finance courses is straightforward, but employs several different
concepts and is is not algebraically simple. In order to overcome this
drawback of the standard approach, we provide an alternative
derivation.
rv: