Δυναμικές δυωνυμικές μεταβλητές και αποτίμηση των παραγώγων τους

Σουφλερός, Ευστράτιος Μ.

Master Thesis

Author

Σουφλερός, Ευστράτιος Μ.

Date

2014-05-09

Abstract

Daily substantial amounts are invested both in assets and in business operations whose cash flows, although they are not derivatives of some tradable asset, depend on a variable that is correlated with tradable assets. A typical case of such securities is the real options. The two widely used derivatives pricing models, namely those of Cox - Ross - Rubinstein and the Black - Scholes, cannot be used in the case where we want to price variables that are not traded in a regulated market. This master’s thesis analyzes an extension of the derivative valuation methodology within a binomial framework, under which we can price both the non¬tradable assets and their derivatives. The critical points of this methodology are the use of the binomial framework and the projection of non-tradable assets to the space of tradables. Furthermore, we present a model, which is an extension of the Black - Scholes methodology, under which we can price both the non-tradable assets and their derivatives in continuous time. Finally, we explore the differences in the price, which are obtained using each of the above models.