Sökning: "Black–Scholes"

Hittade 5 uppsatser innehållade ordet Black–Scholes.

  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. Finite Difference Methods for the Black-Scholes Equation

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Asima Parveen Saleemi; [2020]
    Nyckelord :Option pricing; Generalised Black-Scholes model; Finite difference methods; Stability; Convergence; Numerical solution;

    Sammanfattning : Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. LÄS MER

  4. 3. Testing Extended Rules of Thumb for the Dynamics of Volatility Surfaces

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Joar Mellström; [2019]
    Nyckelord :Volatility Surface; Implied Volatility; Rules of Thumb; NoArbitrage Condition; Index Options; Business and Economics;

    Sammanfattning : It is a common practise to quote option prices using their BlackScholes implied volatility. A volatility surface describes an options implied volatility as a function of the strike price and time to maturity. It can be used as a tool for hedging but also valuation when prices are not directly observable. LÄS MER

  5. 4. Energy Efficiency Analysis of ARM big.LITTLE Global Task Scheduling

    Kandidat-uppsats, Högskolan i Skövde/Institutionen för informationsteknologi

    Författare :Sigurd Israelsson; [2015]
    Nyckelord :ARM big.LITTLE; Global Task Scheduling; PARSEC Blackscholes; BBench; Energy efficiency;

    Sammanfattning : In this paper an ARM big.LITTLE system with Global Task Scheduling is evaluated in terms of its energy efficiency and performance measured in execution time. The big.LITTLE system is evaluated against the same system but with only the big or LITTLE processor active. LÄS MER

  7. 5. The performance of GARCH option pricing models : An empirical study on Swedish OMXS30 call options

    Master-uppsats, IHH, Economics, Finance and Statistics

    Författare :Donald Harding; [2013]
    Nyckelord :;

    Sammanfattning : The purpose of this thesis is to examine the properties for different specifications of the HestonNandi GARCH option pricing model and the pricing performance on european Swedish OMXS30 call options. The sample consists of a total of 2467 options (both in-sample and out-of-sample) for 2011 and 2012, which are priced with three specifications of the HestonNandi-GARCH model and then compared to the pricing performance of the BlackScholes model. LÄS MER