EDGEWORTH BINOMIAL MODEL FOR PRICING OPTIONS
In this thesis, will be discussed pricing options with Edgeworth binomial model. The model is constructed using the Edgeworth expansion that uses the first four moments which the specifications are skewness and kurtosis. The options that the price is specified are European option and barrier option....
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/15421 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |