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Niklasson, V., Rados, J., Hee, D., Björefeldt, J., Pettersson, T. och Malmgård, E. (2016) The Trinomial Asset Pricing Model. Göteborg : Chalmers University of Technology
BibTeX
@misc{
Niklasson2016,
author={Niklasson, Vilhelm and Rados, Jakob and Hee, Dick and Björefeldt, Johan and Pettersson, Tom and Malmgård, Edvin},
title={The Trinomial Asset Pricing Model},
abstract={Options play an important part in financial markets. Throughout the years, several
pricing theories have been developed to generate fair prices for options of different sorts.
In this thesis we investigate the trinomial asset pricing model. After giving an explanation
of its properties, we use the trinomial model to derive a fair price of standard
European options. We study the trinomial model approximation of the Black-Scholes
price and finally apply the trinomial model on six different exotic options.
We have found that, under certain conditions on the model parameters, the trinomial
price converges to the Black-Scholes price. Furthermore, we have established that pricing
American put options works well using the trinomial model. Regarding the investigated
exotic options, we conclude that the trinomial model can often be suitable to use when
pricing exotic options that are not path dependent. In relation to the less advanced binomial
model, the trinomial model has the advantage of converging to the Black-Scholes
price faster than the binomial model.},
publisher={Institutionen för matematiska vetenskaper, Chalmers tekniska högskola},
place={Göteborg},
year={2016},
note={130},
}
RefWorks
RT Generic
SR Electronic
ID 238499
A1 Niklasson, Vilhelm
A1 Rados, Jakob
A1 Hee, Dick
A1 Björefeldt, Johan
A1 Pettersson, Tom
A1 Malmgård, Edvin
T1 The Trinomial Asset Pricing Model
YR 2016
AB Options play an important part in financial markets. Throughout the years, several
pricing theories have been developed to generate fair prices for options of different sorts.
In this thesis we investigate the trinomial asset pricing model. After giving an explanation
of its properties, we use the trinomial model to derive a fair price of standard
European options. We study the trinomial model approximation of the Black-Scholes
price and finally apply the trinomial model on six different exotic options.
We have found that, under certain conditions on the model parameters, the trinomial
price converges to the Black-Scholes price. Furthermore, we have established that pricing
American put options works well using the trinomial model. Regarding the investigated
exotic options, we conclude that the trinomial model can often be suitable to use when
pricing exotic options that are not path dependent. In relation to the less advanced binomial
model, the trinomial model has the advantage of converging to the Black-Scholes
price faster than the binomial model.
PB Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,PB Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,PB Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,PB Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,PB Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,PB Institutionen för matematiska vetenskaper, Chalmers tekniska högskola,
LA eng
LK http://publications.lib.chalmers.se/records/fulltext/238499/238499.pdf
OL 30
