Hi, do you know by chance how to obtain the up- and down-movement factors u and d for Cox Ross Rubinstein in binomial tree method? How do we obtain that u and d are the exp (sigma* sqrt t)? I searched already two days for the step by step explanation of the little algebra behind the factors. For sure mathematicians understand the derivation and don't find it necessary to explain. I am not a pure mathematician, and have to say that I don't find the derivation of the factors very trivial. Thank you very much in advance!
finally someone who explains this well!
Yes
Excellent explanation. You're a scholar, Devin!
This was so straight forward and helped me out so much. Thank you!
So nice
Thanks for not standing in front of the board making it unreadibly as I've seen so many times.
Hi, do you know by chance how to obtain the up- and down-movement factors u and d for Cox Ross Rubinstein in binomial tree method? How do we obtain that u and d are the exp (sigma* sqrt t)? I searched already two days for the step by step explanation of the little algebra behind the factors. For sure mathematicians understand the derivation and don't find it necessary to explain. I am not a pure mathematician, and have to say that I don't find the derivation of the factors very trivial. Thank you very much in advance!
Nice!
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