| Title | Trinominis modelis / |
|---|---|
| Translation of Title | Trinomial model. |
| Authors | Papievienė, Laima |
| Full Text |
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| Pages | 45 |
| Keywords [eng] | trinomial model ; options pricing formula ; hedging strategy |
| Abstract [eng] | In this paper we generalize the binomial model of John C. Cox, Stephen A. Ross and Marc Rubinstein to the trinomial case. We study the existence of the equivalent martingale measure, completeness of the market and construct the hedging strategy. Finally, we derive the option pricing formula and provide its continuous time approximation. |
| Type | Master thesis |
| Language | Lithuanian |
| Publication date | 2007 |