Cox-Ross-Rubinstein Option Pricing Model

What is Cox-Ross-Rubinstein Option Pricing Model?

Cox-Ross-Rubinstein Option Pricing Model meaning An option pricing model developed by John Cox, Stephen Ross, and Mark Rubinstein that can be adopted to include effects not included in the Black-Scholes Model (e.g., early exercise and price supports).

 

reference: U.S. COMMODITY FUTURES TRADING COMMISSION – CFTC Glossary

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