Essays about: "Lattice random variables"

Found 2 essays containing the words Lattice random variables.

1. 1. Lattice Approximations for Black-Scholes type models in Option Pricing

   University essay from Akademin för utbildning, kultur och kommunikation

   Author : Hossein Nohrouzian; Anne Karlén; [2013]
   Keywords : Finance; Black-Scholes; Binomial Models; Financial mathematics;

   Abstract : This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. READ MORE

3. 2. Edgeworth Expansion and Saddle Point Approximation for Discrete Data with Application to Chance Games

   University essay from Institutionen för datavetenskap, fysik och matematik, DFM

   Author : Rani Basna; [2010]
   Keywords : Edgeworth expansion; Lattice random variables; Saddle point approximation;

   Abstract : We investigate mathematical tools, Edgeworth series expansion and the saddle point method, which are approximation techniques that help us to estimate the distribution function for the standardized mean of independent identical distributed random variables where we will take into consideration the lattice case. Later on we will describe one important application for these mathematical tools where game developing companies can use them to reduce the amount of time needed to satisfy their standard requests before they approve any game . READ MORE