Physical Sciences and Mathematics Commons^™

Pricing European Option Under A Modified Cev Model, Wafaa Ibrahim Abuzarqa

Theses

A financial derivative is an instrument whose payoff is derived from the behavior of another underlying asset. One of the most commonly used derivatives is the option which gives the right to buy or to sell an underlying asset at a pre-specified price at (European) or at and before (American) an expiration date. Finding a fair price of the option is called the option pricing problem and it depends on the underlying asset prices during the period from the initial time to expiration date. Thus, a “good” model for the underlying asset price trajectory is needed. In this work, we …