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dc.contributor.advisorGeiss, Christel
dc.contributor.authorKostensalo, Joel
dc.date.accessioned2019-11-08T11:14:16Z
dc.date.available2019-11-08T11:14:16Z
dc.date.issued2019
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/66279
dc.description.abstractThe 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 derived. The Black-Scholes prices with uncertainties are compared to SPX options, where the underlying asset is the Standard\&Poor 500 index consisting of 500 large US based companies, sold on the CBOE. Possible arbitrage opportunities for certain strike prices and maturities are found, showing that real markets may have pricing issues.en
dc.format.extent29
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.titleOption pricing and uncertainties in the Black-Scholes model
dc.identifier.urnURN:NBN:fi:jyu-201911084797
dc.type.ontasotPro gradu -tutkielmafi
dc.type.ontasotMaster’s thesisen
dc.contributor.tiedekuntaMatemaattis-luonnontieteellinen tiedekuntafi
dc.contributor.tiedekuntaFaculty of Sciencesen
dc.contributor.laitosMatematiikan ja tilastotieteen laitosfi
dc.contributor.laitosDepartment of Mathematics and Statisticsen
dc.contributor.yliopistoJyväskylän yliopistofi
dc.contributor.yliopistoUniversity of Jyväskyläen
dc.contributor.oppiaineMatematiikkafi
dc.contributor.oppiaineMathematicsen
dc.rights.copyrightJulkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty.fi
dc.rights.copyrightThis publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited.en
dc.type.publicationmasterThesis
dc.contributor.oppiainekoodi4041
dc.subject.ysoepävarmuus
dc.subject.ysohinnoittelu
dc.subject.ysorahoitusmarkkinat
dc.subject.ysooptiot
dc.subject.ysohintakehitys
dc.subject.ysouncertainty
dc.subject.ysopricing
dc.subject.ysofinancial markets
dc.subject.ysooptions (securities)
dc.subject.ysoprice development
dc.format.contentfulltext
dc.type.okmG2


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