Binomial Tree Model for Option Pricing: A Theoretical as well as Practical View
This particular study has been undertaken to implement the Binomial Option Pricing technique using computational software. This has been done with a view to price European as well as American options. Even though most of the option prices are given and available to the users, having a model to price...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English English |
| Published: |
2010
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| Online Access: | https://eprints.nottingham.ac.uk/23547/ |
| _version_ | 1848792585926082560 |
|---|---|
| author | Gupta, Devika |
| author_facet | Gupta, Devika |
| author_sort | Gupta, Devika |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This particular study has been undertaken to implement the Binomial Option Pricing technique using computational software. This has been done with a view to price European as well as American options. Even though most of the option prices are given and available to the users, having a model to price them can prove as a useful tool for analysis and subsequent hedging. The Binomial Tree model has been chosen for valuing American options taking real time market data for stock options that trade on NASDAQ under the Chicago Board Options Exchange. Implied volatility has been used to compute option prices from the program to match their actual market value. This is done with a view to develop a program that has the ability to calculate the price of an option using real time data as close to the actual market price of the option.Volatility is discussed in greater detail and its effect on option prices are observed by varying it in the binomial tree program. |
| first_indexed | 2025-11-14T18:46:45Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-23547 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T18:46:45Z |
| publishDate | 2010 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-235472022-03-21T16:06:15Z https://eprints.nottingham.ac.uk/23547/ Binomial Tree Model for Option Pricing: A Theoretical as well as Practical View Gupta, Devika This particular study has been undertaken to implement the Binomial Option Pricing technique using computational software. This has been done with a view to price European as well as American options. Even though most of the option prices are given and available to the users, having a model to price them can prove as a useful tool for analysis and subsequent hedging. The Binomial Tree model has been chosen for valuing American options taking real time market data for stock options that trade on NASDAQ under the Chicago Board Options Exchange. Implied volatility has been used to compute option prices from the program to match their actual market value. This is done with a view to develop a program that has the ability to calculate the price of an option using real time data as close to the actual market price of the option.Volatility is discussed in greater detail and its effect on option prices are observed by varying it in the binomial tree program. 2010-07 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/23547/1/final_dissertation-1.pdf other en https://eprints.nottingham.ac.uk/23547/2/Bimomial%20Tree%20Program/Program%20Executable/Finance.exe Gupta, Devika (2010) Binomial Tree Model for Option Pricing: A Theoretical as well as Practical View. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Gupta, Devika Binomial Tree Model for Option Pricing: A Theoretical as well as Practical View |
| title | Binomial Tree Model for Option Pricing: A Theoretical as well as Practical View |
| title_full | Binomial Tree Model for Option Pricing: A Theoretical as well as Practical View |
| title_fullStr | Binomial Tree Model for Option Pricing: A Theoretical as well as Practical View |
| title_full_unstemmed | Binomial Tree Model for Option Pricing: A Theoretical as well as Practical View |
| title_short | Binomial Tree Model for Option Pricing: A Theoretical as well as Practical View |
| title_sort | binomial tree model for option pricing: a theoretical as well as practical view |
| url | https://eprints.nottingham.ac.uk/23547/ |