Pricing American and European options under the binomial tree model and its Black-Scholes limit model
We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps, convergence of the stock prices and the option prices are obtained as N-> infinite. The obtained convergence i...
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| Format: | Others |
| Language: | English |
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Linnéuniversitetet, Institutionen för matematik (MA)
2017
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-68264 |