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I have a question regarding the Cox-Ross-Rubenstein (CRR) model (Cox et al.,1979). While I do understand how the model is constructed, I am now trying to put it into code and am not sure how to translate the phi correctly or what it means in this notation. Could somebody kindly help me on that small matter? Regards,

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It is explained just above the box in the original paper on page 239. The function $\Phi$ denotes the complementary binomial distribution function. Complementary means it is $\mathbb{P}(X>x)=1-F_X(x)$.

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Hi Mtris, I would recommend implementing the formula above. Very easy to implement but I recommend looking up proposition 2.25 in Björk's fourth edition of Arbitrage Theory in Continuous Time. It is a more general proposition.

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