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Dergiler / Öneri Dergisi / 2002 / Cilt: 5 Sayı: 18

HİSSE SENEDİ FİYATLARININ MODELLENMESİ ve OPSİYONLARIN FİYATLANDIRILMASI: BİNOMİAL YAKLAŞIM

Ömer Önalan(MARMARA ÜNİVERSİTESİ)
Sayfa
21–28
Yayın Tarihi
2002-06-28
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Yapay Zeka Hızlı Bakış & Çıkarımlar

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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

To illustrate these concepts we briefly discuss the Binomial model of Cox, Ross and Rubinstein (1979).

📌 3 Maddede Bu Makale

🎯
Amaç & Hipotez:In this study, we explain to the pricing hedging of derivatives infinite markets models.
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Temel Bulgular & Veri:In this setting we work out of the key financial and mathematical ideas underlying modern derivatives.
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Sonuç & Katkı:To illustrate these concepts we briefly discuss the Binomial model of Cox, Ross and Rubinstein (1979).
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Hisse senedi fiyatlarının modellenmesi · Opsiyonların fiyatlandırılması · Binominal yaklaşım

Özet

In this study, we explain to the pricing hedging of derivatives infinite markets models. In this setting we work out of the key financial and mathematical ideas underlying modern derivatives. Asset analysis without having to deal with the technicalities stochastic calculus. We explain the notation of dynamic edging and introduce the concept of an equivalent martingale - measure. We discuss the fundamental theorem of asset pricing and derive the Risk- Neutral pricing principle. To illustrate these concepts we briefly discuss the Binomial model of Cox, Ross and Rubinstein (1979).

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Bu Makaleye Atıf Yap

Önalan, Ö. (2002). HİSSE SENEDİ FİYATLARININ MODELLENMESİ ve OPSİYONLARIN FİYATLANDIRILMASI: BİNOMİAL YAKLAŞIM. Öneri Dergisi, Cilt: 5 Sayı: 18, 21–28. https://doi.org/10.14783/maruoneri.683116

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Kaynakça (12)

  1. HULL, J.C., Options, Futures and Other Derivatives, Printice Hall, 1997.
  2. COX, J.; ROSS, S.; RUBINSTEIN, M., "Option Pricing: A Simplified Approach", Journal of Financial Economics, 7, 1979, s.224-264.
  3. ELLIOTT, R.J.; KAPP, F.E., Mathematics of Financial Markets, Springer 1999.
  4. RESNICK, S., Adventures in Stochastic Processes, Birhouser, 1992.
  5. WILMOTT, P.; HOWISON, S.; DEWYNNE, J., The Mathematics of Financial Derivatives, Cambridge University Press, 1995.
  6. KALLIANPUR, G.; KARANDIKAR, R.L., Introduction to Option Pricing Theory, Birhauser, 2000.
  7. RUBINSTEIN, M., "Implied Binomial Trees", Journal of Finance, 49, 1994, s.771-818.
  8. BLACK, F.; SCHOLES, M., "Pricing of Options Corporate Liabilities", Journal of Political Economy, 81, 1973, s.637-654.
  9. LAMBERTON, D.; LAPEYRE, B., Introduction to Stochastic Calculus Applied to Finance, Chapman&Hall,1996.
  10. OKSENDAL, B., Stochastic Differential Equations:An Introduction with Applications, Springer, 1998.
  11. PLISKA, S.R., Introduction to Mathematical Finance. Discrete Time Models, Blackwell Publishers Ltd., 1998.
  12. WILLIAMS, D., Probability with Martingales, Cambridge University Press, 1991.