8.3 Recommended Literature

Starting point to price options by means of binomial processes is the classic work of Cox et al. (1979) who introduce this approach as an independent method rather than only as a numeric approximation to the Black-Scholes equations. Baxter and Rennie (1996) provide a detailed and modern description of option pricing with binomial trees. The numerical aspects are extensively discussed by Dewynne et al. (1993).