摘要：This article revisits the topic of two-state pricing of currency options. It examines the models developed by Cox, Ross, and Rubinstein, Rendleman and Bartter, and Trigeorgis, and presents two alternative binomial models based on the continuous and discrete time Geometric Brownian Motion processes respectively. This work generalizes the standard binomial approach incorporating the main existing models as particular cases. The proposed models are straightforward, flexible, accommodate any drift condition and afford additional insights into binomial trees and lattice models in general. Further, the alternative parameterizations are free of the negative aspects associated with the Cox, Ross, and Rubinstein model.
