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

Kan-Dobrowsky, Natalia

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.identifier.uri	http://dx.doi.org/10.53846/goediss-2516
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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