| Title |
Barjero pasirinkimo sandorių įkainojimo metodų tyrimas |
| Translation of Title |
The investigation of the barrier options pricing models. |
| Authors |
Palivonaitė, Rita |
| Full Text |
|
| Pages |
85 |
| Keywords [eng] |
Barrier options ; Black-Scholes model ; binomial model ; trinomial model ; adaptive mesh model. |
| Abstract [eng] |
In this paper we consider barrier options pricing models. Barrier options are standard call or put options except that they disappear or appear if the asset price crosses a predeterminant set of fixing dates. Barrier options are priced using continuous state Black-Scholes model and numerical approximation techniques, such as binomial and trinomial. Because of the the barrier condition and discreteness of these models the convergence to Black-Scholes model sometimes is slow. It is offered to apply adaptive mesh model grafting small sections of fine high-resolution lattice onto a tree in trinomial model. In this work we present the comparison of the models with some numerical results for barrier options. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2008 |
