BINOMIAL ASSET PRICING
Authors
Donglin Liu
Rubric:Pricing
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1186
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Annotation
In this project, I study the binomial asset pricing model and its application in derivative asset pricing. Specifically, using central limit theorem, I summarize the connection of the binomial asset pricing model and the famous Black Scholes asset pricing model. The computer simulation is conducted to prove the theoretical result. Additionally, I practiced the derivation of the Black Scholes option formula and employed it on Apple’s call option pricing. The formula price is in great consistent to the option price observed in reality.
Keywords
Asset pricing
Central limit theory
binomial model.
Authors
Donglin Liu
Rubric:Pricing
1186
3
Share
1186
3
References:
- Daily Treasury Yield Curve Rates. https://www.treasury.gov/resource-center/data-chart-center/interest-rates/pages/textview.aspx?data=yield.
- Hull, John. Options, Futures and Other Derivatives. Pearson/Prentice Hall, 2009.
- Shreve, Steven. Stochastic Calculus for Finance I: The Binomial Asset Pricing Model. Springer-Verlag, 2004.
- Yahoo Finance - Stock Market Live, Quotes, Business & Finance News. https://finance.yahoo.com/
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