Sökning: "geometric brownian motion"

Visar resultat 1 - 5 av 40 uppsatser innehållade orden geometric brownian motion.

1. 1. Introduction of the Swedish Investment Saving Account and Individual Stock Investment Behavior

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Yao Fu; [2023]
   Nyckelord :capital income taxation; ISK; stock investment; idiosyncratic risk; systematic risk;

   Sammanfattning : The Swedish government introduced a new saving platform named as the Swedish Investment Saving Account (ISK) in January 2012 in order to simplify the taxation on the capital income of security investment. Compared to the conventional accounts (CA), ISK is taxed at a flat-rate based on the balance in the account, and there is no other taxation related to security sales and dividend distribution. LÄS MER

3. 2. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation

   Master-uppsats, Uppsala universitet/Analys och partiella differentialekvationer

   Författare :Mohammed Moniruzzaman Khan; [2023]
   Nyckelord :;

   Sammanfattning : This thesis aims at evaluating and implementing Longstaff & Schwarz approach for approximating the value of American options. American options are generally hard to value, exercised at any time up to its expiration and moreover, there is no closed- form solution for an American option’s price. LÄS MER

4. 3. Geometric Brownian Motion Option Pricing Model for Professional Football Contracts

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Dennis Markovic; Emil Schough; [2023]
   Nyckelord :Geometric Brownian motion; Football; Investment analysis; Real options;

   Sammanfattning : In recent years, the valuation of football players has gained significant attention, especially in the context of their transfer value in the market. Our investigation explores the application of a Geometric Brownian Motion option pricing model to estimate the transfer value of football players, considering the option-like characteristics of player contracts. LÄS MER

5. 4. Comparison of Indirect Inference and the Two Stage Approach

   Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Victor Hernadi; Leandro Carocca Jeria; [2022]
   Nyckelord :Geometric Brownian Motion; Drift; Volatility; Indirect Inference; Two Stage Approach; Parameter Estimation; Stock Price Prediction;

   Sammanfattning : Parametric models are used to understand dynamical systems and predict its future behavior. It is difficult to estimate the model’s parametric values since there are usually many parameters and they are highly correlated. LÄS MER

7. 5. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models

   Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Författare :Mara Kalicanin Dimitrov; [2022]
   Nyckelord :Almost Exact Scheme; Monte Carlo; Bermudan Options; Least Squares Monte Carlo; CIR; Heston Model; Double Heston Model; Stochastic Volatility;

   Sammanfattning : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. LÄS MER