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A comparative study of tree - based models and their applications in modern nance
Dissertation (MSc)--University of Pretoria, 2014.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2015
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| _version_ | 1867613514009411584 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc)--University of Pretoria, 2014. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/43267 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:20.986Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/43267 A comparative study of tree - based models and their applications in modern nance Mare, Eben johan.vanbiljon@standardbank.co.za Van Biljon, Johannes Barend UCTD Dissertation (MSc)--University of Pretoria, 2014. The Binomial option pricing model plays an integral role in modern nance due to its simplicity to implement and pedagogical value. There are two ways of extending the Binomial model on one source of underlying risk. The rst is to expand the number of possible states after each time step which results in the multinomial model. The second is to increase the number of sources of underlying risk. In this dissertation, the extension of the Binomial model in both cases is discussed. Numerical investigation is done to evaluate convergence patterns and computational intensity of a number of non-vanilla options. These include rainbow, basket and digital options, as well as convertible bonds. Theoretical and actual convergence is discussed and compared. lk2014 Mathematics and Applied Mathematics MSc Unrestricted 2015-01-19T12:13:21Z 2015-01-19T12:13:21Z 2014/12/12 2014 Dissertation Van Biljon, JB 2014, A comparative study of tree - based models and their applications in modern nance, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/43267> M14/9/237 http://hdl.handle.net/2263/43267 en © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD A comparative study of tree - based models and their applications in modern nance |
| title | A comparative study of tree - based models and their applications in modern nance |
| title_full | A comparative study of tree - based models and their applications in modern nance |
| title_fullStr | A comparative study of tree - based models and their applications in modern nance |
| title_full_unstemmed | A comparative study of tree - based models and their applications in modern nance |
| title_short | A comparative study of tree - based models and their applications in modern nance |
| title_sort | comparative study of tree based models and their applications in modern nance |
| topic | UCTD |
| url | http://hdl.handle.net/2263/43267 |