Option pricing and uncertainties in the Black-Scholes model
The pricing of European call options traded on the Chicago Board of Options Exchange (CBOE) is studied in the Black-Scholes model. A method for treating uncertainties in option prices based on the propagation of uncertainties is presented. Practically implementable formulas for the uncertainties are...
Main Author: | |
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Other Authors: | , , , , , |
Format: | Master's thesis |
Language: | eng |
Published: |
2019
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Subjects: | |
Online Access: | https://jyx.jyu.fi/handle/123456789/66279 |