# Meeting Details

Title: Black-Scholes type formulas for European options Probability and Financial Mathematics Seminar Manfred Denker, PSU Mathematics The classical Cox-Ross-Rubinstein model assumes that the option price of a risky asset jumps up by a factor of $u$ or drops down by a factor $d$ in one time unit. We take a more general viewpoint that one has several possibilities of this type, and derive the option price as a function of the jump sizes and the probability of occurrences of these hedging options. This is done as in the classical case as a space time approximation of a continuous limit model. The advantage of such a model is that the error bounds of the option price are better to control.