Sökning: "shifted Black model"

Hittade 3 uppsatser innehållade orden shifted Black model.

  1. 1. Developing a technique for combining light and ultrasound for deep tissue imaging

    Master-uppsats, Lunds universitet/Atomfysik; Lunds universitet/Fysiska institutionen

    Författare :Meng Li; [2018]
    Nyckelord :UOT; Ultrasound Optical Tomography; Monte Carlo; TCSPC; PTOF; Photon time of flight; Ultrasound; US; AOT; Acousto-optical tomography; Spectral hole burning; SHB; ultrasound modulation; Physics and Astronomy;

    Sammanfattning : Biological tissues are strongly light-scattering and absorbing media that limit the depth of optical-based imaging. Even though, optical imaging provides good optical contrast information of biological content that is beneficial for clinical diagnostics application. LÄS MER

  3. 2. Pricing Interest Rate Derivatives in a Negative Yield Environment

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Lavinia Rognone; [2017-07-26]
    Nyckelord :Interest rate derivatives; negative strikes; negative yield; normal model; Bachelier model; shifted Black model; shifted SABR model;

    Sammanfattning : The main purpose of this thesis is to price interest rate derivatives in the today negative yield environment. The plain vanilla interest rate derivatives have now negative strikes and negative values of the underlying asset, the forward rate. LÄS MER

  4. 3. Black-Scholes Option Pricing Formula - An empirical study

    Kandidat-uppsats, Göteborgs universitet/Företagsekonomiska institutionen

    Författare :Martin Gustafsson; Erik Mörck; [2010-02-12]
    Nyckelord :Black and Scholes; call option; put option; option pricing; volatility; price difference; pricing error; moneyness; at-the-money; in-the-money; out-of-the-money; deep-in-the-money; deep-out-of-the-money; dividend; risk free interest rate; time to expiry; standard deviation; correlation coefficient; Least-Squares Linear Regression Analysis.;

    Sammanfattning : Purpose: The purpose of this study is to empirically test the accuracy of the Black and Scholes model by examining the difference between theoretical prices predicted by the model and actual market prices. We will also try to determine whether the accuracy of the model varies with the time left to expiration or the moneyness of an option. LÄS MER