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Document type:
Bachelorarbeit 
Author(s):
Jargalsaikhan, Bayasgalan 
Title:
The Binomial Approach to Option Valuation 
Abstract:
This bachelor thesis examines the binomial tree algorithm as a tool for the numerical calculation of option prices. Starting from the historical approach of Cox, Ross and Rubinstein, the one-step binomial model is derived from basic no arbitrage principles. This simple model is then extended to multi-period models and the continuous time Black-Scholes model is shown to be a limiting case for infinitesimal time steps. The usefulness of the binomial model for actual numerical calculations of opti...    »
 
Advisor:
Dipl. Math. Oec Natalia Shenkman 
Referee:
Prof. Dr. Matthias Scherer 
Year:
2011 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
Format:
Text