Title: Границы применимости современных моделей ценообразования опционов
Abstract: The study showed the necessity of further development of option pricing models. Russian options market and the world options market are actively developing now. However existing option pricing models can''t be used for valuation of all kinds of options. Besides, limits of applicability of some option pricing models are not studied. The report showed the review of option pricing models and methods, their advantages and disadvantages, and the conditions of their using. The paper presents the results of the author''s research of limits of applicability of the binomial option pricing model. The erroneous approach to the calculation of the probability of an increase in the underlying asset price was detected in the research. The paper showed the procedure for constructing the graph showing the areas of the correct application of the binomial option pricing model for different values of the percentage increase in the underlying asset price during each time step. The results of the study extended the knowledge of the conditions and limits of applicability of option pricing models.
Publication Year: 2014
Publication Date: 2014-01-01
Language: en
Type: article
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