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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 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.
Keyword [en]
Finance, Black-Scholes, Binomial Models, Financial mathematics
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-23511OAI: oai:DiVA.org:mdh-23511DiVA: diva2:679217
Subject / course
Mathematics/Applied Mathematics
Supervisors
Examiners
Available from: 2014-03-03 Created: 2013-12-13 Last updated: 2014-03-03Bibliographically approved

Open Access in DiVA

Lattice Approximation for Black-Scholes type Models in Option Pricing(427 kB)184 downloads
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Type fulltextMimetype application/pdf

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