Option pricing and uncertainties in the Black-Scholes model

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...

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Bibliographic Details
Main Author: Kostensalo, Joel
Other Authors: Matemaattis-luonnontieteellinen tiedekunta, Faculty of Sciences, Matematiikan ja tilastotieteen laitos, Department of Mathematics and Statistics, Jyväskylän yliopisto, University of Jyväskylä
Format: Master's thesis
Language:eng
Published: 2019
Subjects:
Matematiikka
Mathematics
4041
epävarmuus
hinnoittelu
rahoitusmarkkinat
optiot
hintakehitys
uncertainty
pricing
financial markets
options (securities)
price development
Online Access: https://jyx.jyu.fi/handle/123456789/66279

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