Examining binomial option price approximations:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
1997
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | II, 171 S. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Contents
1 Introduction to Lattice Option Pricing and the Examination of Convergence
Behavior 1
1.1 Examining Binomial Price Approximations 1
1.2 Review of the Literature on Binomial Option Pricing 8
1.3 Review of the Literature on Barrier Option Pricing 10
1.4 Review of the Literature on Complete Models with Time and State dependent
Volatility 11
2 Examining Convergence of the Binomial Price for Standard Options 13
2.1 Introduction 13
2.2 Valuation of the European Call Option 15
2.2.1 Valuation in the Continuous Time Model 15
2.2.2 Valuation in the Discrete Time Model 17
2.3 Convergence Analysis I: Passage to the Limit 21
2.3.1 Conditions for the Passage to the Limit 21
2.3.2 Examining the Limit with Different Binomial Approaches 26
2.4 Convergence Analysis II: Examining and Proving Convergence Speed with
Asymptotic Expansions 30
2.4.1 Introduction to Asymptotic Expansions 30
2.4.2 Examining Convergence Speed with Different Binomial Approaches . . 35
2.4.3 Examining and Proving Convergence Speed for the Extended CRR Model 47
2.5 Convergence Analysis III: Examining and Proving Convergence Speed of Ac¬
celerated Binomial Models 52
2.5.1 Normal Approximations and Convergence Speed 52
2.5.2 Binomial Option Pricing with Normal Approximations 55
2.6 Outlook to the Error Analysis of the Binomial Price Approximation for the
American Put Option 60
2.7 Convergence with other Numerical Approaches for Option Valuation 65
2.8 Summary 68
i
, CONTENTS
! Examining Convergence of Barrier Options 73
3.1 Introduction 73
3.2 Convergence Analysis of the CRR European Down and out Call Option Ap¬
proximation 74
3.2.1 Introduction to Barrier Option Pricing 74
3.2.2 Passage to the Limit 77
3.2.3 Convergence Speed Analysis 81
3.3 Convergence Analysis of a Modified Binomial Approach 90
3.3.1 Definition of the Method 90
3.3.2 Passage to the Limit 94
3.3.3 Convergence Speed Analysis 98
3.4 Convergence Analysis of a Modified Trinomial Approach 101
3.4.1 Definition of the Method 101
3. 1.2 Passage to the Limit 103
3.4.3 Convergence Speed Analysis 107
3.5 Flexible Binomial Trees: A New Methodology for Option Price Approximation 113
3.5.1 A New Interpretation of the Binomial Asset Price Grid 113
3.5.2 A Lattice based Backward Induction Method 118
3.5.3 Specific Extensions 120
3.5.4 Simulations 122
4 Binomial Option Pricing with Time and State dependent Volatility 127
4.1 Introduction 127
4.2 Binomial Models with Time and State dependent Volatility Functions .... 129
4.2.1 The Model in the Continuous time Setup 129
4.2.2 The Model in the Discrete time Setup 130
4.2.3 The Model of Derman and Kani 134
4.2.4 Some Modifications to the Model of Derman and Kani 137
1.3 Proving Convergence and Stability of the Binomial Asset Price Process .... 140
4.3.1 Convergence Proof Part One 140
4.3.2 Convergence Proof Part Two: An Additional Assumption 144
4.1 Simulation Results 146
4.4.1 Discussion of the Simulation Results 14
1.4.2 Listing of the Simulation Results 1J
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| genre_facet | Hochschulschrift |
| id | DE-604.BV011731095 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:14:48Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007912911 |
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| physical | II, 171 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
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| spelling | Reimer, Matthias 1964- Verfasser (DE-588)118111191 aut Examining binomial option price approximations vorgelegt von Matthias Reimer 1997 II, 171 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bonn, Univ., Diss., 1997 Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Binomialverteilung (DE-588)4145587-3 gnd rswk-swf Asymptotische Entwicklung (DE-588)4112609-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Optionspreistheorie (DE-588)4135346-8 s Binomialverteilung (DE-588)4145587-3 s Asymptotische Entwicklung (DE-588)4112609-9 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007912911&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Reimer, Matthias 1964- Examining binomial option price approximations Optionspreistheorie (DE-588)4135346-8 gnd Binomialverteilung (DE-588)4145587-3 gnd Asymptotische Entwicklung (DE-588)4112609-9 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4145587-3 (DE-588)4112609-9 (DE-588)4113937-9 |
| title | Examining binomial option price approximations |
| title_auth | Examining binomial option price approximations |
| title_exact_search | Examining binomial option price approximations |
| title_full | Examining binomial option price approximations vorgelegt von Matthias Reimer |
| title_fullStr | Examining binomial option price approximations vorgelegt von Matthias Reimer |
| title_full_unstemmed | Examining binomial option price approximations vorgelegt von Matthias Reimer |
| title_short | Examining binomial option price approximations |
| title_sort | examining binomial option price approximations |
| topic | Optionspreistheorie (DE-588)4135346-8 gnd Binomialverteilung (DE-588)4145587-3 gnd Asymptotische Entwicklung (DE-588)4112609-9 gnd |
| topic_facet | Optionspreistheorie Binomialverteilung Asymptotische Entwicklung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007912911&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT reimermatthias examiningbinomialoptionpriceapproximations |