Sökning: "Bates Model"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Bates Model.

  1. 1. To what degree is the VIX benchmark computed by CBOE representative of its definition?

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Patrik Liedbeck; Wilhlem Ålander; [2018]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The purpose of this paper is through an empirical approach understand the dynamics of VIX and investigate to what degree the benchmark computed by CBOE is representative of its definition. The method implemented is of a design where one constructs a hypothetical world in which synthetic options data are produced by the Bates-Heston model. LÄS MER

  2. 2. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Giulia Cesaroni; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Sammanfattning : MSc in Finance.... LÄS MER

  3. 3. Model risk quantification in option pricing

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Michael Montag; Fredrik Persson; [2015]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : This thesis investigates a methodology for quantification of model risk in option pricing. A set of different pricing models is specified and each model is assigned a probability weight based on the Akaike Information Criteria. It is then possible to obtain a price distribution of an exotic derivative from these probability weights. LÄS MER

  4. 4. Valuation of spread options using the fast Fourier transform under stochastic volatility and jump diffusion models

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Max Andersson; [2015]
    Nyckelord :Fast Fourier transform; Spread options; Derivatives pricing; Stochastic volatility; Jump diffusion; Business and Economics; Mathematics and Statistics;

    Sammanfattning : Spread options have become very popular in basically every sector of the financial markets, although the pricing of these derivatives still remains a challenge. In this thesis we examine the pricing of spread options using the fast Fourier transform (FFT). LÄS MER

  5. 5. Fast Fourier Transforms in IMEX-schemes to price options under Bates model

    Master-uppsats, Uppsala universitet/Analys och sannolikhetsteori

    Författare :Chi Zhang; [2014]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

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