Martingale pricing theory & lattice approaches: the binomial pricing algorithm for American options
Tran, Le Bao Tran (A.A. 2021/2022) Martingale pricing theory & lattice approaches: the binomial pricing algorithm for American options. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 18. [Bachelor's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Overview. An overview of financial options. Reasoning of the tree approaches for pricing American options. Pricing American option with the binomial algorithm. Discrete markets. Probability space. Portfolio. Martingale measure. Complete market. Cob-Rox-Rubenstein’s binomial model for option pricing. Stopping time. Doob’s decomposition theorem. Initial arbitrage price of an American option. A Excel simulation for American put options.
References
Bibliografia: p. 18.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2021/2022 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 29 Sep 2022 09:53 |
| Last Modified: | 29 Sep 2022 09:53 |
| URI: | https://tesi.luiss.it/id/eprint/33494 |
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