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Cox-Ross-Rubinstein Model

An option pricing model which was developed by John Cox, Stephen Ross, and Mark Rubinstein. It was designed to address...

Jump Process

A stochastic process which describes the movements in the price of a derivative's underlying through time. In this process, the...

Ho and Lee Option Model

An interest rate option model (originally appeared in 1986) which uses short rates in pricing interest rate derivatives such as...