| dc.contributor.advisor | Geiss, Christel | |
| dc.contributor.author | Kostensalo, Joel | |
| dc.date.accessioned | 2019-11-08T11:14:16Z | |
| dc.date.available | 2019-11-08T11:14:16Z | |
| dc.date.issued | 2019 | |
| dc.identifier.uri | https://jyx.jyu.fi/handle/123456789/66279 | |
| dc.description.abstract | 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 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.extent | 29 | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | en | |
| dc.title | Option pricing and uncertainties in the Black-Scholes model | |
| dc.identifier.urn | URN:NBN:fi:jyu-201911084797 | |
| dc.type.ontasot | Pro gradu -tutkielma | fi |
| dc.type.ontasot | Master’s thesis | en |
| dc.contributor.tiedekunta | Matemaattis-luonnontieteellinen tiedekunta | fi |
| dc.contributor.tiedekunta | Faculty of Sciences | en |
| dc.contributor.laitos | Matematiikan ja tilastotieteen laitos | fi |
| dc.contributor.laitos | Department of Mathematics and Statistics | en |
| dc.contributor.yliopisto | Jyväskylän yliopisto | fi |
| dc.contributor.yliopisto | University of Jyväskylä | en |
| dc.contributor.oppiaine | Matematiikka | fi |
| dc.contributor.oppiaine | Mathematics | en |
| dc.rights.copyright | Julkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty. | fi |
| dc.rights.copyright | This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. | en |
| dc.type.publication | masterThesis | |
| dc.contributor.oppiainekoodi | 4041 | |
| dc.subject.yso | epävarmuus | |
| dc.subject.yso | hinnoittelu | |
| dc.subject.yso | rahoitusmarkkinat | |
| dc.subject.yso | optiot | |
| dc.subject.yso | hintakehitys | |
| dc.subject.yso | uncertainty | |
| dc.subject.yso | pricing | |
| dc.subject.yso | financial markets | |
| dc.subject.yso | options (securities) | |
| dc.subject.yso | price development | |
| dc.format.content | fulltext | |
| dc.type.okm | G2 | |
