Penn State University - Smeal College of Business
PSU search
Student Exchange Smeal site map Contact us Accounting faculty directory

Steven Huddart picture
Should I exercise my stock options?
Case Studies
Stock compensation glossary
Compensation links
Securities law links
Tax links
Office hours and location
Facts About The School
Home | Previous | Next | Huddart Site Map

Binomial model

A model for pricing tradable call options. This model option values from a set of recursive equations.

The binomial model is more versatile than the Black-Scholes model. This versatility facilitates incorporation of early exercise and additional features of stock options into option valuation.


John C. Cox, Stephen A. Ross, and Mark Rubinstein, 1979, Option Pricing: A Simplified Approach, Journal of Financial Economics 7, 229-263


Richard J. Rendleman and Brit J. Bartter, 1979, Two-state option pricing. Journal of Finance 34, 1093-1110.

Steven Huddart
Smeal College of Business, Penn State University, University Park, PA 16802-3603 USA
(814) 863-0048
Home | Previous | Next | Huddart Site Map
was last updated on Tue, Aug 21, 2018.
Today is Thu, Dec 3, 2020.

Unless otherwise noted, all material is:
Copyright ©1995-2018 Steven Huddart. All rights reserved.