Add to ORKGThis thesis presents a mathematical model to evaluate European contingent claims by duplicating the cash-flow using a self-financing portfolio consisting only of a stock and a bond. In order to introduce the model, the basics of probability theory and stochastic calculus are first presented. The thesis then presents the proof that in the case of a European option the whole model is trivial. Finally a promising idea to evaluate the fair price of an European contingent claim is expounded --Abstract, page iii
Evaluation of Country Risks by Means of Option Price Methods The aim of this contribution is to...
This thesis explores pricing models for interest rate markets. The model used to ':describe the shor...
This study develops a pricing model in the Black and Scholes tradition for an option written on a fo...
Abstract: This paper reviews the mathematical foundation of martingale theory to the pricing of cont...
Using mathematical techniques at undergraduate level, an introduction to axiomatic probability theor...
This PhD thesis consists of three separate papers. The common theme is methods to calculate analytic...
In the presented thesis we study three methods of pricing European currency barrier options. With he...
Modern financial engineering is a part of applied mathematics that studies market models. Each model...
Magister Scientiae - MScThe present mini-thesis seeks to explore and investigate the mathematical th...
A valuation problem of the European style contingent claim in the market with daily price movement l...
The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplet...
We present a European option pricing when the underlying asset price dynamics is governed by a linea...
In this paper, we investigate the European option pricing when the riskfree interest rate is stochas...
The diploma thesis is focused on the option pricing methods. There are described basic features of t...
In this paper a hybrid model is investigated to capture both financial behaviors of an asset: (i) th...
Evaluation of Country Risks by Means of Option Price Methods The aim of this contribution is to...
This thesis explores pricing models for interest rate markets. The model used to ':describe the shor...
This study develops a pricing model in the Black and Scholes tradition for an option written on a fo...
Abstract: This paper reviews the mathematical foundation of martingale theory to the pricing of cont...
Using mathematical techniques at undergraduate level, an introduction to axiomatic probability theor...
This PhD thesis consists of three separate papers. The common theme is methods to calculate analytic...
In the presented thesis we study three methods of pricing European currency barrier options. With he...
Modern financial engineering is a part of applied mathematics that studies market models. Each model...
Magister Scientiae - MScThe present mini-thesis seeks to explore and investigate the mathematical th...
A valuation problem of the European style contingent claim in the market with daily price movement l...
The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplet...
We present a European option pricing when the underlying asset price dynamics is governed by a linea...
In this paper, we investigate the European option pricing when the riskfree interest rate is stochas...
The diploma thesis is focused on the option pricing methods. There are described basic features of t...
In this paper a hybrid model is investigated to capture both financial behaviors of an asset: (i) th...
Evaluation of Country Risks by Means of Option Price Methods The aim of this contribution is to...
This thesis explores pricing models for interest rate markets. The model used to ':describe the shor...
This study develops a pricing model in the Black and Scholes tradition for an option written on a fo...