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Lattice approximations for Black-Scholes type models in Option Pricing
Mälardalen University, School of Education, Culture and Communication.
Mälardalen University, School of Education, Culture and Communication.
2013 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. Furthermore, the convergence of binomial model to normal distribution, Geometric Brownian Motion and Black-Scholes model isdiscussed. Finally, the connections and interrelations between discrete random variables under the Lattice approach and continuous random variables under models which follow Geometric Brownian Motion are discussed, compared and contrasted.

Place, publisher, year, edition, pages
2013. , 85 p.
Keyword [en]
Black-Scholes, Binomial Models, Trinomial Models, Finance
National Category
Natural Sciences
Identifiers
URN: urn:nbn:se:mdh:diva-21951OAI: oai:DiVA.org:mdh-21951DiVA: diva2:656489
Subject / course
Mathematics/Applied Mathematics
Supervisors
Examiners
Available from: 2013-12-20 Created: 2013-10-15 Last updated: 2013-12-20Bibliographically approved

Open Access in DiVA

Thesis of Anne and Hossein(428 kB)178 downloads
File information
File name FULLTEXT01.pdfFile size 428 kBChecksum SHA-512
046a2bb5796a91799ea72da3e04e6b2f67b51ebb2b4d3c0ba528c382ddf2773d46e9f4760ce78d9be10c4d81719217a76cd5f2afe61ae5d9f0366e258f892b6f
Type fulltextMimetype application/pdf

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Natural Sciences

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf