Option Pricing



Er, Kah Shen (2017) Option Pricing. Final Year Project (Bachelor), Tunku Abdul Rahman University College.

[img] Text
Er Kah Shen_FULL TEXT.pdf
Restricted to Registered users only

Download (788kB)


In this project report, .This report consists of chapters. In chapter 1, we have introduction of option. In section 1, we have forward price. Section 2 of chapter 1, we have call option.In section 3, we have put option.In section 4, we have European and American Options.In section 5, Option payoffs.In chapter 2, we have Binomial Option Pricing Model.In section 1, we have One Step Binomial Tree. In section 2, we have Multi-Step Binomial Tree. In chapter 3, we have Black-Scholes model. In section 1, we have the definition of black-Scholes Formula and example using formula to solve problem. In section 2, we have Options Greeks. In chapter 4, we have Monte Carlo Option Pricing Model. In section 1, we have definition of Monte Carlo Option Pricing Model formula. In the last chapter, we present conclusion and future work. We find the difference between 3 models and which model is suitable in what situation. For future work, we can apply those models in programming software to help us to solve the problems

Item Type: Final Year Project
Subjects: Science > Computer Science
Science > Mathematics
Faculties: Faculty of Applied Sciences and Computing > Bachelor of Science (Honours) in Management Mathematics with Computing
Depositing User: Library Staff
Date Deposited: 09 Aug 2019 08:12
Last Modified: 11 Apr 2022 07:02
URI: https://eprints.tarc.edu.my/id/eprint/4847