Option valuation with a modified tree method
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Keywords
Option valuation ; Modified tree methodAbstract
This thesis refers to “A Modified Lattice Approach to Option Pricing” of Tian (1993). In order pricing and comparison to be succeeded, we use the binomial model of Cox-Ross-Rubinstein (1979), the Boyle Trinomial Model (1986) and the Tian Modified Binomial and Trinomial Models (1993). Firstly, we cite the theoretical part, which is required for the completion of the empirical study. Therefore, we present a brief historical review towards the need to find a more efficient option pricing model and analyze the problems that arise by using constant volatility in pre-existing models. We proceed with the theoretical analysis of the models starting from the binomial valuation model, continuing with the trinomial tree model, and reaching at the main topic, the construction of the modified binomial tree and the two modified trinomial trees for the valuation of European call and put options. Then carry out numerical accuracy analysis and empirical research in turn, in which options are adjusted according to the underlying asset (that is, Apple's within a certain time frame). Then, estimate the price of the parametric model and estimate the performance of the out-of-sample model. Finally, compare the models in order to get the most effective model.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με ειδίκευση στις Χρηματοδοτήσεις και ΕπενδύσειςDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
95Language
English
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα