Αποτίμηση δικαιωμάτων προαίρεσης με ένα ευέλικτο διωνυμικό μοντέλο
Option pricing with a flexible binomial model
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Keywords
Αποτίμηση δικαιωμάτων προαίρεσης ; Διωνυμικά δέντρα ; Ευέλικτο διωνυμικό μοντέλο ; Ευρωπαϊκά δικαιώματα αγοράς ; Αμερικανικά δικαιώματα πώλησης ; Μέθοδος παρέκτασης ; Ομαλή σύγκλιση ; Χρονικά βήματα ; Σφάλματα αποτίμησης ; Εκτίμηση παραμέτρωνAbstract
The theme of this thesis is the Flexible Binomial Option Pricing Model. In order pricing and comparison to be succeeded, we use the binomial model of Cox-Ross-Rubinstein (1979), the Flexible Binomial Model of Tian (1999) with a given ‘’tilt’’ parameter and the latter with the use of an extrapolation method.
Firstly, we cite the theoretical piece, which is required for the completion of the empirical study. Within this theory, the Cox-Ross-Rubinstein (1979) is developed and compared with its extension, which is the flexible binomial model with a ‘’tilt’’ parameter, which alters the shape and span of the binomial tree. This extension of binomial model seems to converge with any finite value of the tilt parameter. Even more interesting is the fact that the tree can be recalibrated through the tilt parameter giving as a result the most accurate pricing of standard options. Equally important is the existence of an extrapolation method, which enhances the convergence of the flexible binomial model contrary to the model of Cox-Ross-Rubinstein, where the convergence is characterized as an erratic fashion.
Then the empirical study takes its turn, in which the options are adjusted based on an underlying asset, which is the Microsoft company for a given time horizon. Afterwards, the prices of the models of parameters are estimated as well as the way the models perform out of the sample of estimation. Finally, the comparison of the model is done with the help of plots in order to come up with the most efficient.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
86Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές