Lattice Approximations for Black-Scholes type models in Option Pricing
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
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.
Place, publisher, year, edition, pages
2013. , 83 p.
Finance, Black-Scholes, Binomial Models, Financial mathematics
IdentifiersURN: urn:nbn:se:mdh:diva-23511OAI: oai:DiVA.org:mdh-23511DiVA: diva2:679217
Subject / course
Silvestrov, Sergei, Professor
Malyarenko, Anatoliy, Professor