Sökning: "Basket option"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden Basket option.

  1. 1. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Robin Nordström; Sepand Tabari; [2021]
    Nyckelord :Applied Mathematics; Financial Mathematics; Option Pricing; Binomial Option Pricing Model; Basket Option; Delta Neutrality; Data Analysis; Tillämpad Matematik; Finansiell Matematik; Optionsprissättning; Binomialmodellen; Korgoption; Deltaneutralitet; Dataanalys;

    Sammanfattning : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. LÄS MER

  3. 2. Estimation methods for Asian Quanto Basket options

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :David Adolfsson; Tom Claesson; [2019]
    Nyckelord :Monte Carlo simulation; Estimation; Option; Taylor expansion; Sensitivities; Price interpolation; Grid;

    Sammanfattning : All financial institutions that provide options to counterparties will in most cases get involved withMonte Carlo simulations. Options with a payoff function that depends on asset’s value at differenttime points over its lifespan are so called path dependent options. LÄS MER

  4. 3. Modeling implied correlation matrices using option prices

    Master-uppsats, KTH/Matematisk statistik

    Författare :Sofie Eklund; Randa Estaifo; [2018]
    Nyckelord :;

    Sammanfattning : In the process of calculating a fair value it is preferable to price the asset from observable market data. Some assets are valued using variables which can not be directly observed in the market but are instead implied from observable market data. One such variable is the correlation between assets. LÄS MER

  5. 4. Combinatorial and price efficient optimization of the underlying assets in basket options

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Sara Alexis; [2017]
    Nyckelord :Option pricing; correlated stochastic processes; Basket option; moment matching; lognormal approximation; binary nonlinear optimization; continuous nonlinear optimization; Monte Carlo simulation; penalty methods;

    Sammanfattning : The purpose of this thesis is to develop an optimization model that chooses the optimal and price efficient combination of underlying assets for a equally weighted basket option. To obtain a price efficient combination of underlying assets a function that calculates the basket option price is needed, for further use in an optimization model. LÄS MER

  7. 5. Regression-Based Monte Carlo For Pricing High-Dimensional American-Style Options

    Master-uppsats, Umeå universitet/Institutionen för fysik

    Författare :Niklas Andersson; [2016]
    Nyckelord :American options; Monte Carlo; Robust Regression; Quasi Monte Carlo; Importance sampling;

    Sammanfattning : Pricing different financial derivatives is an essential part of the financial industry. For some derivatives there exists a closed form solution, however the pricing of high-dimensional American-style derivatives is still today a challenging problem. LÄS MER