Real and Risk Neutral Measure in Option Pricing, M.Sc. Thesis Sharif University of Technology ; Alishahi, Kasra (Supervisor) ; Bahramgiri, Mohsen (Co-Advisor)
Abstract
In this thesis, we are going to prove the fundamental theorem of asset pricing and then define option and use the binomial option pricing model to for pricing the option. Afterwards, we explain the recovery theorem which gives the relationship between real and risk neutral measure. Moreover, we present an introduction to financial mathematics and state the generalized Black-Scholes model for option pricing.Then, we prove a theorem for options which reveals a relationship between option prices and real measure
Cataloging briefReal and Risk Neutral Measure in Option Pricing, M.Sc. Thesis Sharif University of Technology ; Alishahi, Kasra (Supervisor) ; Bahramgiri, Mohsen (Co-Advisor)
Abstract
In this thesis, we are going to prove the fundamental theorem of asset pricing and then define option and use the binomial option pricing model to for pricing the option. Afterwards, we explain the recovery theorem which gives the relationship between real and risk neutral measure. Moreover, we present an introduction to financial mathematics and state the generalized Black-Scholes model for option pricing.Then, we prove a theorem for options which reveals a relationship between option prices and real measure
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