Date of Submission
Spring 2014
Academic Programs and Concentrations
Mathematics
Project Advisor 1
Greg Landweber
Abstract/Artist's Statement
This project examines stock option financial pricing model in the discrete world. Initially we introduce the concept and definitions that allow us to deliver a simple binomial tree model. By shifting to the continuous world, we understand how to make some changes in the initial model in order to make it better. We then apply those changes, such as accounting for drift, in our second discrete model.
Open Access Agreement
On-Campus only
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.
Recommended Citation
Lobao Gadelha, Carlos, "Option Pricing Model on the Discrete World" (2014). Senior Projects Spring 2014. 115.
https://digitalcommons.bard.edu/senproj_s2014/115
This work is protected by a Creative Commons license. Any use not permitted under that license is prohibited.
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