Sökning: "Basket-option"
Visar resultat 1 - 5 av 9 uppsatser innehållade ordet Basket-option.
1. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : 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
2. Combinatorial and price efficient optimization of the underlying assets in basket options
Master-uppsats, KTH/Optimeringslära och systemteoriSammanfattning : 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
3. Randomized Quasi-Monte Carlo Simulations for Basket Option Pricing where underlying assets follow a Time-Changed Meixner Levy Process
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can oer both insurance and leverage and for a more risk-loving investor they can be used as speculation. LÄS MER
4. Randomized Quasi-Monte Carlo Methods for Basket Option Pricing Where Underlying Assets Follow a Time-Changed Meixner Lévy Process
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can offer both insurance and leverage and for a more risk-loving investor they can be used as speculation. LÄS MER
5. Evaluation of analytical approximations of two-asset basket option price
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis applies the decomposition suggested by Alexander and Venkatramanan (2012) to the pay-off of a basket option of two assets with a non-zero strike to derive an approximate price of corresponding basket option. The decomposition yields two sub-baskets and a situation where sub-strikes must be chosen. LÄS MER