engleski

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

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.

lattice based option pricing models ; Excel ; VBA

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