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dc.contributor.advisorRaus, Toomas, juhendaja
dc.contributor.authorAmankwaa, Samuel
dc.contributor.otherTartu Ülikool. Loodus- ja täppisteaduste valdkondet
dc.contributor.otherTartu Ülikool. Matemaatika ja statistika instituutet
dc.date.accessioned2017-08-31T08:35:15Z
dc.date.available2017-08-31T08:35:15Z
dc.date.issued2017
dc.identifier.urihttp://hdl.handle.net/10062/57699
dc.description.abstractAn option is the opportunity to buy or sell an underlying asset with a fixed price at a given time in the future. One of the biggest difficulties in option theory is determining the correct value of an option. In this thesis, we discuss what European and American options are, we further move on to price American lookback options using the singular point method. We use singular points which are formed on the nodes of the tree and apply the binomial method to find price of the option which are represented as continuous piecewise linear functions. The reflection principle and combinatorics are used in pricing European lookback options. Under the reflection principle the emphasis is on finding the appropriate probability convenient to use in pricing the option under the method suggested by John Hull.en
dc.language.isoenget
dc.subjectfinancial mathematicsen
dc.subjectoptionsen
dc.subjectlookback optionsen
dc.subjectbinomial modelen
dc.subjectsingular points methoden
dc.subjectsingulaarsete punktide meetodet
dc.subjectbinoommeetodet
dc.subjecttagasivaatavad optsioonidet
dc.subjectoptsioonidet
dc.subjectfinantsmatemaatikaet
dc.titleSingular points binomial method for pricing American fixed lookback optionsen
dc.typeThesisen


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