Two-asset option pricing
| dc.contributor.advisor | Raus, Toomas, juhendaja | |
| dc.contributor.author | Nnamdi, Lilian Amarachukwu | |
| dc.contributor.other | Tartu Ülikool. Loodus- ja täppisteaduste valdkond | et |
| dc.contributor.other | Tartu Ülikool. Matemaatika ja statistika instituut | et |
| dc.date.accessioned | 2023-09-08T12:51:42Z | |
| dc.date.available | 2023-09-08T12:51:42Z | |
| dc.date.issued | 2023 | |
| dc.description.abstract | This thesis delves into the pricing of four distinct two-asset options: basket options, correlation options, spread options and options on the minimum and maximum of two assets. Through numerical analysis, three pricing models are employed: A lattice model with five branches which involves an extension of the lattice binomial method by Cox, Ross, and Rubinstein to value options with only one asset, A Modification of the Binomial method and the Adaptive Binomial Lattice Method for time interval [T −Δt, T] with refinement level 1. These models are used to price both European and American two-asset options. The accuracy of the methods are shown by valuing the two-asset options and comparing with the exact prices or prices gotten from relevant papers. In the numerical experiments, all models perform quite well, but the adaptive binomial lattice method has better accuracy than other methods. | en |
| dc.identifier.uri | https://hdl.handle.net/10062/92057 | |
| dc.language.iso | eng | et |
| dc.publisher | Tartu Ülikool | et |
| dc.rights | openAccess | et |
| dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 International | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
| dc.subject | Black-Scholes model | en |
| dc.subject | Black-Scholesi mudel | et |
| dc.subject | adaptive binomial lattice model | en |
| dc.subject | kohanduv ruudustikuline binomiaalne mudel | et |
| dc.subject | binomial model | en |
| dc.subject | binomiaalne mudel | et |
| dc.subject | two-asset options | en |
| dc.subject | kahe vara optsioonid | et |
| dc.subject.other | magistritööd | et |
| dc.subject.other | võrguväljaanded | et |
| dc.title | Two-asset option pricing | en |
| dc.type | info:eu-repo/semantics/masterThesis | et |