delo diplomskega seminarja
Gregor Mesarič (Author), Dejan Velušček (Mentor), Aleš Toman (Co-mentor)

Abstract

Vrednotenje evropskih opcij s pogledom nazaj v binomskem modelu

Keywords

matematika;binomski model;Black-Scholesov model;opcija s pogledom nazaj;Cheuk-Vorstov algoritem;konvergenca;

Data

Language: Slovenian
Year of publishing:
Typology: 2.11 - Undergraduate Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [G. Mesarič]
UDC: 519.8
COBISS: 17269081 Link will open in a new window
Views: 702
Downloads: 277
Average score: 0 (0 votes)
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Other data

Secondary language: English
Secondary title: Valuation of European Lookback Options in the Binomial Model
Secondary keywords: mathematics;binomial model;Black-Scholes model;lookback option;Cheuk-Vorst algorithm;convergence;
Type (COBISS): Final seminar paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja
Pages: 29 str.
ID: 10911261
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