Sökning: "Dupire"

Hittade 4 uppsatser innehållade ordet Dupire.

  1. 1. Local Volatility Calibration on the Foreign Currency Option Market

    Master-uppsats, Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolan

    Författare :Markus Falck; [2014]
    Nyckelord :FX-options; local volatility calibration; local variance gamma; votality interpolation extrapolation; variance swaps; option pricing;

    Sammanfattning : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). LÄS MER

  3. 2. Pricing With Uncertainty : The impact of uncertainty in the valuation models ofDupire and Black&Scholes

    Master-uppsats, KTH/Matematisk statistik

    Författare :Mirella Zetoun; [2013]
    Nyckelord :Dupire; Local Volatility; Implied Volatility; Structured Products; Autocalls; CPN; Calibration; Black Scholes; S P500; DAX; OMX;

    Sammanfattning : Theaim of this master-thesis is to study the impact of uncertainty in the local-and implied volatility surfaces when pricing certain structured products suchas capital protected notes and autocalls. Due to their long maturities, limitedavailability of data and liquidity issue, the uncertainty may have a crucialimpact on the choice of valuation model. LÄS MER

  4. 3. Inverse Parameter Estimation using Hamilton-Jacobi Equations

    Magister-uppsats, KTH/Numerisk analys, NA

    Författare :Mikael Helin; [2013]
    Nyckelord :Hamilton-Jacobi equation. Optimal control. Euler method.; Hamilton-Jacobi ekvationer. Optimal styrning. Eulers stegmetoder;

    Sammanfattning : Inthis degree project, a solution on a coarse grid is recovered by fitting apartial differential equation to a few known data points. The PDE to consideris the heat equation and the Dupire’s equation with their synthetic data,including synthetic data from the Black-Scholes formula. LÄS MER

  5. 4. FX BASKET OPTIONS - Approximation and Smile Prices

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Patrik Karlsson; [2009]
    Nyckelord :hedging; FX; Black-Scholes; Volatility Smile.; Basket Option; Derivative; Local Volatility; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : Pricing a Basket option for Foreign Exchange (FX) both with Monte Carlo (MC) techniques and built on different approximation techniques matching the moments of the Basket option. The thesis is built on the assumption that each underlying FX spot can be represented by a geometric Brownian motion (GBM) and thus have log normally distributed FX returns. LÄS MER