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dc.contributor.advisor Denker, Manfred Prof. Dr. de
dc.contributor.author Kan-Dobrowsky, Natalia de
dc.date.accessioned 2006-01-20T15:27:48Z de
dc.date.accessioned 2013-01-18T13:22:22Z de
dc.date.available 2013-01-30T23:50:55Z de
dc.date.issued 2006-01-20 de
dc.identifier.uri http://hdl.handle.net/11858/00-1735-0000-0006-B401-6 de
dc.description.abstract 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. de
dc.format.mimetype application/pdf de
dc.language.iso eng de
dc.rights.uri http://webdoc.sub.gwdg.de/diss/copyr_diss.html de
dc.title Generalized Multinomial CRR Option Pricing Model and its Black-Scholes type limit de
dc.type doctoralThesis de
dc.title.translated Verallgemeinertes Multinomial CRR Option Preis Modell und seine Black-Scholes Typ Begrenzung de
dc.contributor.referee Woerner, Jeannette Prof. Dr. de
dc.date.examination 2005-09-11 de
dc.subject.dnb 510 Mathematik de
dc.description.abstracteng 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. de
dc.subject.topic Mathematics and Computer Science de
dc.subject.ger Option-Preis de
dc.subject.ger verallgemeinerte Black-Scholes Formel de
dc.subject.eng option pricing de
dc.subject.eng generalized Black-Scholes formula de
dc.subject.bk 31.70 de
dc.subject.bk 31.73 de
dc.identifier.urn urn:nbn:de:gbv:7-webdoc-635-2 de
dc.identifier.purl webdoc-635 de
dc.affiliation.institute Fakultät für Mathematik und Informatik de
dc.subject.gokfull EGCP 050: Applications to actuarial sciences and financial mathematics {Statistics: Applications} de
dc.subject.gokfull EHGM 350: Stochastic analysis {Fluid mechanics: Basic methods in fluid mechanics} de
dc.subject.gokfull EGA 990: Probability theory and stochastic processes - not classified at a more specific level de
dc.subject.gokfull EEHN 300: Applications in probability theory and statistics {Miscellaneous applications of operator theory} de
dc.subject.gokfull EGC 990: Statistics - not classified at a more specific level de
dc.identifier.ppn 587183748 de
dc.creator.birthname Kan

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