Κατασκευή χαρτοφυλακίων αντιστάθμισης μέσω διωνυμικών δέντρων
Construction of hedging portofolios via binomial trees
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Subject
Derivative securities ; Options (Finance)Abstract
The main aim of this MSc thesis is to present numerical procedures that can be used to calculate the fair value of financial derivatives when exact formulas are not available. Initially, we present the basic theory which describes the movements of financial instruments. Furthermore, the risk neutral probability measure is depicted as well as some relevant results. The main part of this thesis consists of the presentation and implementation of option pricing techniques through binomial trees and delta hedging. Finally, we include several applications of option pricing using appropriate computer software (Wolfram Mathematica).
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
85Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές