Pricing of European options

Author

Dirk Rohmeder

Abstract

"This thesis presents a mathematical model to evaluate European contingent claims by duplicating the cash-flow using a self-financing portfolio consisting only of a stock and a bond. In order to introduce the model, the basics of probability theory and stochastic calculus are first presented. The thesis then presents the proof that in the case of a European option the whole model is trivial. Finally a promising idea to evaluate the fair price of an European contingent claim is expounded"--Abstract, page iii.

Advisor(s)

Grow, David E.

Committee Member(s)

Bohner, Martin, 1966-
Hilgers, Michael Gene

Department(s)

Mathematics and Statistics

Degree Name

M.S. in Applied Mathematics

Publisher

University of Missouri--Rolla

Publication Date

Spring 2003

Pagination

iv, 30 pages

Note about bibliography

Includes bibliographical references (pages 28-29).

Rights

© 2003 Dirk Rohmeder, All rights reserved.

Document Type

Thesis - Restricted Access

File Type

text

Language

English

Subject Headings

Options (Finance) -- Prices -- Mathematical models

Thesis Number

T 8227

Print OCLC #

53209331

Link to Catalog Record

Electronic access to the full-text of this document is restricted to Missouri S&T users. Otherwise, request this publication directly from Missouri S&T Library or contact your local library.

Recommended Citation

Rohmeder, Dirk, "Pricing of European options" (2003). Masters Theses. 2316.
https://scholarsmine.mst.edu/masters_theses/2316