Numerical of Derivatives - Tree Methods
碩士 === 國立交通大學 === 應用數學系 === 89 === In this paper, we will introduce the European option pricing model developed by Black and Scholes in 1973. At the same time, it can approximate the Black-Scholes formula by many numerical methods, like binomial, trinomial, finite difference, implied tree...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/57753269195468415218 |
| Summary: | 碩士 === 國立交通大學 === 應用數學系 === 89 === In this paper, we will introduce the European option pricing model developed by Black and Scholes in 1973. At the same time, it can approximate the Black-Scholes formula by many numerical
methods, like binomial, trinomial, finite difference, implied tree, etc. We will compute the reasonable price of American option furthermore. Finally, we compute the Lookback option price by these numerical methods and use root mean square error (RMSE) to investigate the accuracies between different numerical methods with parameters.
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