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