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Pregled bibliografske jedinice broj: 415733

An Application of Excel and VBA in Comparison of Lattice Based Option Pricing Models


Aljinović, Zdravka; Marasović, Branka; Jurun, Krešimir
An Application of Excel and VBA in Comparison of Lattice Based Option Pricing Models // Proceedings of the 32nd International Convention MIPRO 2009, Conference: Computers in Education
Opatija: Croatian Society for Information and Communication Technology, Electronics and Microelectronics -MIPRO, 2009. str. 140-144 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)


CROSBI ID: 415733 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
An Application of Excel and VBA in Comparison of Lattice Based Option Pricing Models

Autori
Aljinović, Zdravka ; Marasović, Branka ; Jurun, Krešimir

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 32nd International Convention MIPRO 2009, Conference: Computers in Education / - Opatija : Croatian Society for Information and Communication Technology, Electronics and Microelectronics -MIPRO, 2009, 140-144

ISBN
978-953-233-042-7

Skup
32nd International Convention MIPRO 2009, Conference: Computers in Education

Mjesto i datum
Opatija, Hrvatska, 25-29.5.2009

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
lattice based option pricing models ; Excel ; VBA

Sažetak
The paper follows from student’ s activities in the subject of financial modeling, precisely in the option pricing field. The student’ s task was to explore lattice based option pricing models and to give an answer is the trinomial model improvement of the popular and often used binomial model. The comparison is based on the number of nodes produced, computer time used and the approximation error, where Excel and programming in VBA have the main role. All programs are given in the paper.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Projekti:
055-0000000-1435 - Matematički modeli u analizi razvoja hrvatskog financijskog tržišta (Aljinović, Zdravka, MZOS ) ( POIROT)

Ustanove:
Ekonomski fakultet, Split

Profili:

Avatar Url Branka Marasović (autor)

Avatar Url Zdravka Aljinović (autor)


Citiraj ovu publikaciju:

Aljinović, Zdravka; Marasović, Branka; Jurun, Krešimir
An Application of Excel and VBA in Comparison of Lattice Based Option Pricing Models // Proceedings of the 32nd International Convention MIPRO 2009, Conference: Computers in Education
Opatija: Croatian Society for Information and Communication Technology, Electronics and Microelectronics -MIPRO, 2009. str. 140-144 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
Aljinović, Z., Marasović, B. & Jurun, K. (2009) An Application of Excel and VBA in Comparison of Lattice Based Option Pricing Models. U: Proceedings of the 32nd International Convention MIPRO 2009, Conference: Computers in Education.
@article{article, author = {Aljinovi\'{c}, Zdravka and Marasovi\'{c}, Branka and Jurun, Kre\v{s}imir}, year = {2009}, pages = {140-144}, keywords = {lattice based option pricing models, Excel, VBA}, isbn = {978-953-233-042-7}, title = {An Application of Excel and VBA in Comparison of Lattice Based Option Pricing Models}, keyword = {lattice based option pricing models, Excel, VBA}, publisher = {Croatian Society for Information and Communication Technology, Electronics and Microelectronics -MIPRO}, publisherplace = {Opatija, Hrvatska} }
@article{article, author = {Aljinovi\'{c}, Zdravka and Marasovi\'{c}, Branka and Jurun, Kre\v{s}imir}, year = {2009}, pages = {140-144}, keywords = {lattice based option pricing models, Excel, VBA}, isbn = {978-953-233-042-7}, title = {An Application of Excel and VBA in Comparison of Lattice Based Option Pricing Models}, keyword = {lattice based option pricing models, Excel, VBA}, publisher = {Croatian Society for Information and Communication Technology, Electronics and Microelectronics -MIPRO}, publisherplace = {Opatija, Hrvatska} }




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