| dc.contributor.advisor | Carkova, Viktorija | en_US |
| dc.contributor.author | Pundani, Tatjana | en_US |
| dc.contributor.other | Latvijas Universitāte. Fizikas un matemātikas fakultāte | en_US |
| dc.date.accessioned | 2015-03-24T08:57:42Z | |
| dc.date.available | 2015-03-24T08:57:42Z | |
| dc.date.issued | 2008 | en_US |
| dc.identifier.other | 9309 | en_US |
| dc.identifier.uri | https://dspace.lu.lv/dspace/handle/7/27494 | |
| dc.description.abstract | Maģistra darbs veltīts binomiāla modeļa uz Bleka-Šoula modeli konverģences pētīšanai. Tiek arī apskatītas nepārtraukto no labas puses un ar robežu no kreisas puses funkciju telpa D un Skorohoda topoloģija telpā D.
Darbā ir aprakstītas dažāda veida konverģences telpās C un D, un Skorohoda robežteorēma.
Izmantojot Koksa-Rossa-Rubinšteina un Bleka-Šoula formulas, darbā ir aprēķināti piemēri, kuros tiek atrasti un salīdzināti Eiropas veida call opcijas taisnīgas cenas tekošajā laika momentā dažādiem periodiem. | en_US |
| dc.description.abstract | This master’s work is dedicated to the research of convergence of the Binomial to the Black-Scholes model. Also examine space D, which contains functions, what are uninterrupted from the right and have limit from the left, and Skorohod’s topology in the space D.
The different types of convergences in spaces C and D, and Skorohod’s limit theorem are described in this work.
Using Cox-Ross-Rubinstein and Black-Scholes equations some examples are solved, where were found and compared European call option fair prices at a current time for different periods. | en_US |
| dc.language.iso | N/A | en_US |
| dc.publisher | Latvijas Universitāte | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Matemātika | en_US |
| dc.title | Opciju cenu robežteorēma binomiālajā tirgū | en_US |
| dc.title.alternative | Limit theorem for option pricing in binomial market | en_US |
| dc.type | info:eu-repo/semantics/masterThesis | en_US |
