CONVERGENCE OF LEISEN-REIMER BINOMIAL MODEL IN PRICING EUROPEAN OPTIONS
A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price. The continuous European options pricing model is given by the Black-Scholes formula, while the discrete mo...
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id-itb.:121272017-09-27T14:41:45ZCONVERGENCE OF LEISEN-REIMER BINOMIAL MODEL IN PRICING EUROPEAN OPTIONS AGUSTINA (NIM 20106005), FITRIANI Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/12127 A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price. The continuous European options pricing model is given by the Black-Scholes formula, while the discrete model can be priced using binomial model. We define the error simply as the difference between the binomial approximation and the value computed by the Black-Scholes formula. An interesting property about error is how to understand the convergence of the binomial model to the Black-Scholes model. In this theses, we prove that order of convergence one for Cox-Ross-Rubinstein binomial model (1979). text |
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A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price. The continuous European options pricing model is given by the Black-Scholes formula, while the discrete model can be priced using binomial model. We define the error simply as the difference between the binomial approximation and the value computed by the Black-Scholes formula. An interesting property about error is how to understand the convergence of the binomial model to the Black-Scholes model. In this theses, we prove that order of convergence one for Cox-Ross-Rubinstein binomial model (1979). |
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Theses |
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AGUSTINA (NIM 20106005), FITRIANI |
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AGUSTINA (NIM 20106005), FITRIANI CONVERGENCE OF LEISEN-REIMER BINOMIAL MODEL IN PRICING EUROPEAN OPTIONS |
author_facet |
AGUSTINA (NIM 20106005), FITRIANI |
author_sort |
AGUSTINA (NIM 20106005), FITRIANI |
title |
CONVERGENCE OF LEISEN-REIMER BINOMIAL MODEL IN PRICING EUROPEAN OPTIONS |
title_short |
CONVERGENCE OF LEISEN-REIMER BINOMIAL MODEL IN PRICING EUROPEAN OPTIONS |
title_full |
CONVERGENCE OF LEISEN-REIMER BINOMIAL MODEL IN PRICING EUROPEAN OPTIONS |
title_fullStr |
CONVERGENCE OF LEISEN-REIMER BINOMIAL MODEL IN PRICING EUROPEAN OPTIONS |
title_full_unstemmed |
CONVERGENCE OF LEISEN-REIMER BINOMIAL MODEL IN PRICING EUROPEAN OPTIONS |
title_sort |
convergence of leisen-reimer binomial model in pricing european options |
url |
https://digilib.itb.ac.id/gdl/view/12127 |
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