Essays about: "Yuankai Yang"

Found 1 essay containing the words Yuankai Yang.

1. 1. Pricing American and European options under the binomial tree model and its Black-Scholes limit model

   University essay from Linnéuniversitetet/Institutionen för matematik (MA)

   Author : Yuankai Yang; [2017]
   Keywords : European option; American option; Binomial tree model; Black-Scholes PDE; Black-Scholes option pricing formula;

   Abstract : We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps,  convergence of the stock prices and the option prices are obtained as N-> infinite. READ MORE