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master's thesis
Generalizirani Cox - Ross - Rubinsteinov model
Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2019. urn:nbn:hr:126:880976
Maglić, Matej
Josip Juraj Strossmayer University of Osijek
Department of Mathematics
Chair of Pure Mathematics
Probability and Mathematical Statistics Research Group

Cite this document

Maglić, M. (2019). Generalizirani Cox - Ross - Rubinsteinov model (Master's thesis). Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:880976

Maglić, Matej. "Generalizirani Cox - Ross - Rubinsteinov model." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2019. https://urn.nsk.hr/urn:nbn:hr:126:880976

Maglić, Matej. "Generalizirani Cox - Ross - Rubinsteinov model." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2019. https://urn.nsk.hr/urn:nbn:hr:126:880976

Maglić, M. (2019). 'Generalizirani Cox - Ross - Rubinsteinov model', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 24 March 2023, https://urn.nsk.hr/urn:nbn:hr:126:880976

Maglić M. Generalizirani Cox - Ross - Rubinsteinov model [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2019 [cited 2023 March 24] Available at: https://urn.nsk.hr/urn:nbn:hr:126:880976

M. Maglić, "Generalizirani Cox - Ross - Rubinsteinov model", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2019. Available at: https://urn.nsk.hr/urn:nbn:hr:126:880976

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Metadata
TitleGeneralizirani Cox - Ross - Rubinsteinov model
Title (english)Generalized Cox - Ross - Rubinstein Model
AuthorMatej Maglić
MentorNenad Šuvak (mentor)
Committee memberMirta Benšić (predsjednik povjerenstva)
Committee memberNenad Šuvak (član povjerenstva)
Committee memberDanijel Grahovac (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
Department of Mathematics
(Chair of Pure Mathematics)
(Probability and Mathematical Statistics Research Group)
Osijek
Defense date and country2019-10-18, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Probability Theory and Statistics
Abstract
Ovaj diplomski rad objedinjuje istraživanja binomnih modela za nearbitražno vrednovanje europske opcije. Proučava se princip određivanja cijena financijskih imovina u općenitom modelu u diskretnom vremenu te izvodi eksplicitna formula za cijenu europske call opcije u binomnom modelu s n perioda. Pokazuje se da nije riječ o jedinstvenom modelu, već o familiji interpretacija procesa u diskretnom vremenu koji konvergira prema geometrijskom Brownovom gibanju. Očito je da bi preferirani binomni model trebao biti karakteriziran odsustvom arbitraže u konačnom broju vremenskih koraka i rezultirati točnom volatilnošću, no neki modeli ipak ne ispunjavaju ove zahtjeve. Izvodi se generalizirani binomni model, a dobiveni rezultati se ilustriraju i provjeravaju numeričkim primjerom.
Abstract (english)
This paper synthesizes the research on binomial models for European options. The principle of pricing financial assets in a general model at discrete time is studied and an explicit formula for pricing European call option in a binomial model with n periods is derived. Paper shows that the model is not a single model but a family of interpretations of a discrete-time process that converges to the geometric Brownian motion process in the limit. It would seem that a preferable binomial model should prohibit arbitrage for a finite number of time steps and recover the correct volatility, and some models fail to meet these requirements. A generalized binomial model is derived and obtained results are illustrated and verified by a numerical example.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:880976
Study programmeTitle: Mathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics
Course: Financial and Statistical Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
RepositoryRepository of Department of Mathematics Osijek
Created on2019-10-25 06:19:07