The Binomial Model and Risk Neutrality: Some Important Details
重新审视Cox、Ross和Rubinstein的二项式期权定价模型与投资者偏好的关系，指出风险中性仅在特定参数选择下成立，并揭示离散时间下两种估值方法的本质差异。
Abstract This paper reexamines the relationship between investors' preferences and the binomial option pricing model of Cox, Ross, and Rubinstein (CRR). It is shown that the independence of the binomial option pricing model from investors' preferences is a result of a special choice of binomial parameters made by CRR. For a more general choice of binomial parameters, risk neutrality cannot be obtained in discrete time. This analysis reveals the essential difference between the “risk neutral” valuation approach of Cox and Ross and the equivalent martingale approach of Harrison and Kreps in a discrete time framework.