To γενικευμένο διωνυμικό μοντέλο αποτίμησης δικαιωμάτων προαίρεσης
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Keywords
Μεταβλητή προέκτασης λ ; Δικαιώματα προαίρεσης ; Μοντέλο Black & Scholes ; Διωνυμικό Μοντέλο CRR ; Γενικευμένο Διωνυμικό Μοντέλο GCRR ; Μεταβλητή προέκτασης λ ; Numerical accuracy of models ; Stretching parameter λ ; Generalized Binomial Model GCRR ; Binomial model CRR ; Black & Scholes Model ; Options ; Αριθμητική ακρίβεια μοντέλωνAbstract
The purpose of the current thesis is the Generalized Binomial Option Pricing Model of Cox, Ross and Rubinstein or the GCCR. This model helps us to improve the structure of the binomial grid so the option pricing can become more efficient over time.
At first we introduce some important models such as Black – Scholes and the meaning of options. Additionally, we refer the history of the binomial model and the path of the final version that we are still using. Subsequently, we study some very important characteristics of options, and then we analyze the binomial model as this will be the start of our study about the generalized version that we presenting. Also, meanings such as the Wiener process, Markov process or Itô process are crucial to be led to our conclusion.
Secondly we study in deeo the generalized binomial model and the different types of it and also we study for each model the rate of convergence. Moreover the specific characteristic og this generalization is that we add an extra parameter λ called stretching parameter.
At last we study empirically the model we analyzed above theoretically. We create tables of convergence of the different of generalize model. For all the empirical part had been used the program called Matlab. The purpose of the empirical part was to study the model and the extensions of it for there efficiency and effectiveness.