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 : Hrvatska udruga za informacijsku i komunikacijsku tehnologiju, elektroniku i mikroelektroniku - 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, 25.05.2009. - 29.05.2009

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