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Improvement of binomial trees model ...

Zhang, Hao.

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Improvement of binomial trees model and Black-Scholes model in option pricing.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Improvement of binomial trees model and Black-Scholes model in option pricing./
Author:	Zhang, Hao.
Description:	43 p.
Notes:	Source: Masters Abstracts International, Volume: 54-01.
Contained By:	Masters Abstracts International54-01(E).
Subject:	Applied Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1568894
ISBN:	9781321331011

Improvement of binomial trees model and Black-Scholes model in option pricing.
Zhang, Hao.

Improvement of binomial trees model and Black-Scholes model in option pricing. - 43 p.

Source: Masters Abstracts International, Volume: 54-01.

Thesis (M.S.)--University of Southern California, 2014.

This item must not be sold to any third party vendors.

Black-Scholes formula is a common tool for people to price a European option, and it can be derived from binomial trees model by using infinite steps. However Black-Scholes model needs several assumptions which are not possible in real world. In this article, the underlying stock log return is not a random walk. The seasonal and political effect on the stock price will be summarized and applied to the model, therefore to increase the accuracy. And most important by the difference between improved model and original model, people will get a measure about certain risks in option investment.

ISBN: 9781321331011Subjects--Topical Terms:

1669109
Applied Mathematics.

Improvement of binomial trees model and Black-Scholes model in option pricing.
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100 1 $a Zhang, Hao. $3 1019140
245 1 0 $a Improvement of binomial trees model and Black-Scholes model in option pricing.
300 $a 43 p.
500 $a Source: Masters Abstracts International, Volume: 54-01.
500 $a Adviser: Sergey Lototsky.
502 $a Thesis (M.S.)--University of Southern California, 2014.
506 $a This item must not be sold to any third party vendors.
520 $a Black-Scholes formula is a common tool for people to price a European option, and it can be derived from binomial trees model by using infinite steps. However Black-Scholes model needs several assumptions which are not possible in real world. In this article, the underlying stock log return is not a random walk. The seasonal and political effect on the stock price will be summarized and applied to the model, therefore to increase the accuracy. And most important by the difference between improved model and original model, people will get a measure about certain risks in option investment.
590 $a School code: 0208.
650 4 $a Applied Mathematics. $3 1669109
650 4 $a Economics, Finance. $3 626650
690 $a 0364
690 $a 0508
710 2 $a University of Southern California. $b Applied Mathematics. $3 1266611
773 0 $t Masters Abstracts International $g 54-01(E).
790 $a 0208
791 $a M.S.
792 $a 2014
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1568894