Sökning: "Arbitrage Argument"

Hittade 5 uppsatser innehållade orden Arbitrage Argument.

  1. 1. Prissättning av Amerikanska Optioner Genom en Adaptiv Prismodell

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Tim Jyrkäs; Mattias Martinsen; [2021]
    Nyckelord :Amerikanska Optioner; Minsta-Kvadrat Monte Carlo; Finanisella Derivat; Optionsprissättning;

    Sammanfattning : Amerikanska köpoptioner (säljoptioner) ger en investerare möjligheten, men ejskyldigheten, att köpa (sälja) en underliggande tillgång till ett förutbestämt pris framtill och med optionens löptid. Ett fundamentalt problemen gällande dessa finansielladerivat berör prisättningen av dessa. LÄS MER

  3. 2. The Relation Between the Credit Default Swap and Corporate Bond Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sofia Nilsson; Isabelle Sandahl; [2018]
    Nyckelord :Credit Default Swap; Corporate Bond Market; Credit Risk; Arbitrage Argument; Credit Ratings; Business and Economics;

    Sammanfattning : The European credit default swap (CDS) market has experienced noticeable changes and remarkably developed over the last decades. Today, the relation between the CDS and corporate bond market is a prominent topic in the financial literature. LÄS MER

  4. 3. Gap Premium Pricing in Leveraged Exchange Traded Notes

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Axel Broström; Richard Krstiansson; [2016]
    Nyckelord :;

    Sammanfattning : Exchange traded notes have recently seen a surge in popularity. Investors are pouring cash into these debt securities that track various underlying assets. Riskier leveraged exchange traded notes replicate the daily return of the underlying asset multiplied by a lever. LÄS MER

  5. 4. Evaluation of Capital Structure Arbitrage in the Equity-Credit Markets

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Daniel Zakrisson; Fredrik Hedberg; Daniel Ferm; Natalia Danilina; [2007]
    Nyckelord :Capital Structure Arbitrage; Credit Default Swaps; Creditgrades; Value-at-Risk; Arbitrage Trading; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : Purpose: The purpose of this thesis is to test for the existence of Capital Structure Arbitrage oppertunities in the equity-credit markets. Methodology: The mispricing of Credit Default Swap contracts are calculated and used as input in an Equity-Credit market trading strategy. LÄS MER

  7. 5. Replication strategies of derivatives under proportional transaction costs - An extension to the Boyle and Vorst model

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Henrik Brunlid; [2005]
    Nyckelord :transaction costs; replicating portfolio; option pricing; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : When we introduce transaction costs the perfect Black and Scholes hedge, consisting of the underlying stock and a risk free asset, becomes infinitely expensive. By loosening the pure arbitrage argument and only considering the expected transaction costs, one can find an upper bound on the price of an option. LÄS MER