Estimasi Harga Multi-State European Call Option Menggunakan Model Binomial

The Binomial Option Pricing Model

The simplest model for pricing d erivative securities is the binomial model. It generalizes the o n e period \up-down" model of Chapte r 1 t o a m ulti-period setting, assuming t hat t he price of the u nderlying asset follows a random walk. In the binomial model, there are N trading periods and N+1 trading d ates, t 0 t 1 ::: t N when it is possible to i n vest in a risky security with p r i c...

Mathematical analysis and pricing of the European continuous installment call option

In this paper we consider the European continuous installment call option. Then  its linear complementarity formulation is given. Writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. Finally finite element method is applied to price the European continuous installment call option.

The Discrete Binomial Model for Option Pricing

This paper introduces the notion of option pricing in the context of financial markets. The discrete time, one-period binomial model is explored and generalized to the multi-period binomial model. The multi-period model is then redeveloped using the sophisticated tools of martingale theory. The paper concludes with a brief extension of the results to continuous time, giving a heuristic derivati...

Programming Project: Binomial-model option-valuation

An Improved Binomial Lattice Method for Multi-Dimensional Option Problems

We propose an improved binomial lattice approach for valuing complex option problems whose payoff depends on multiple state variables following correlated geometric Brownian processes. The proposed approach relies on two main ideas: a specific change of time scale as in the log-trasformed binomial approach by Trigeorgis (1991), and a change of basis of the asset span, to trasform them into unco...