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Lattice Approximations for Black-Scholes type models in Option Pricing

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 the binomial model to normal distribution, Geometric Brownian Motion and Black-Scholes model is discussed. 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.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-23511
Date January 2013
CreatorsNohrouzian, Hossein, Karlén, Anne
PublisherMälardalens högskola, Akademin för utbildning, kultur och kommunikation, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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