Nonparametric predictive inference for European option pricing based on the binomial tree model

In finance, option pricing is one of the main topics. A basic model for option pricing is the Binomial Tree Model, proposed by Cox, Ross, and Rubinstein in 1979 (CRR). This model assumes that the underlying asset price follows a binomial distribution with a constant upward probability, the so-called risk-neutral probability. In this article, we propose a novel method based on the binomial tree. Rather than using the risk-neutral probability, we...