The trinomial asset pricing model is widely used in finance to price exotic options. The advantage of this model compared to the simplest binomial model is that it converges faster as the number of steps increases. The aim of this project is to study the properties of the trinomial model on three levels: Mathematical Analysis, Numerical Implementation and Applications in Finance.
The project is suitable for students in Industriell Ekonomi
Förkunskaper: The students should have already taken the course "Options and Mathematics" (MVE095). Experience with Matlab is also required
Examinator Maria Roginskaya
Institution Matematiska vetenskaper