"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.
Grow, David E.
Bohner, Martin, 1966-
Hilgers, Michael Gene
Mathematics and Statistics
M.S. in Applied Mathematics
University of Missouri--Rolla
iv, 30 pages
© 2003 Dirk Rohmeder, All rights reserved.
Thesis - Restricted Access
Options (Finance) -- Prices -- Mathematical models
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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.http://merlin.lib.umsystem.edu/record=b5002874~S5
Rohmeder, Dirk, "Pricing of European options" (2003). Masters Theses. 2316.
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