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Generalized Multinomial CRR Option Pricing Model and its Black-Scholes type limit

Verallgemeinertes Multinomial CRR Option Preis Modell und seine Black-Scholes Typ Begrenzung

by Natalia Kan-Dobrowsky née Kan
Doctoral thesis
Date of Examination:2005-09-11
Date of issue:2006-01-20
Advisor:Prof. Dr. Manfred Denker
Referee:Prof. Dr. Jeannette Woerner
crossref-logoPersistent Address: http://dx.doi.org/10.53846/goediss-2516

 

 

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Abstract

English

We construct the generalized discrete-time model of the underlying stock price process which serves as a better approximation to the stock price process than classical random walk. The generalized multinomial model of option price with respect to the new model of stock price process is obtained. The corresponding asymptotic procedure allows to obtain the generalized Black-Scholes option pricing formula as a limiting case of generalized discrete-time option pricing model.
Keywords: option pricing; generalized Black-Scholes formula

Other Languages

Wir bauen das verallgemeinerte diskrete Modell des zu Grunde liegenden Aktienpreisprozesses, der als eine bessere Annäherung an den Aktienpreisprozess dient als der klassische zufällige Spaziergang. Das verallgemeinerte Multinomial-Modell des Option-Preises in Bezug auf das neue Modell des Aktienpreisprozesses wird erhalten. Das entsprechende asymptotische Verfahren erlaubt, die verallgemeinerte Black-Scholes Formel zu erhalten, die die Formel als einen Begrenzungsfall des verallgemeinerten diskreten Option-Preis Modells bewertet.
Schlagwörter: Option-Preis; verallgemeinerte Black-Scholes Formel
 

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