Sökning: "Black Scholes"

Visar resultat 16 - 20 av 149 uppsatser innehållade orden Black Scholes.

1. 16. Fourth-Order Runge-Kutta Method for Generalized Black-Scholes Partial Differential Equations

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

   Författare :Sidra Tajammal; [2021]
   Nyckelord :Generalized Black-Scholes partial differential equations; Finite difference methods; Fourth-Order Runge-Kutta method; Stability and Convergence;

   Sammanfattning : The famous Black-Scholes partial differential equation is one of the most widely used and researched equations in modern financial engineering to address the complex evaluations in the financial markets. This thesis investigates a numerical technique, using a fourth-order discretization in time and space, to solve a generalized version of the classical Black-Scholes partial differential equation. LÄS MER

3. 17. Option pricing under Black-Scholes model using stochastic Runge-Kutta method.

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

   Författare :Ali Saleh; Ahmad Al-Kadri; [2021]
   Nyckelord :Runge–Kutta methods; Black–Scholes model; Monte Carlo simulation.;

   Sammanfattning : The purpose of this paper is solving the European option pricing problem under the Black–Scholes model. Our approach is to use the so-called stochastic Runge–Kutta (SRK) numericalscheme to find the corresponding expectation of the functional to the stochastic differentialequation under the Black–Scholes model. LÄS MER

4. 18. Heston vs Black Scholes stock price modelling

   Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

   Författare :Ida Bucic; [2021]
   Nyckelord :Heston model; Black Scholes model; CIR model; Stock price modelling;

   Sammanfattning : In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. LÄS MER

5. 19. Volatility Curves of Incomplete Markets

   Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

   Författare :Kateryna Chechelnytska; [2020-06-23]
   Nyckelord :Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

   Sammanfattning : The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were perfectly described by the Black-Scholes model, the implied volatility would be independent of the strike price and thus the volatility curve would be a at horizontal line. LÄS MER

7. 20. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

   Master-uppsats, KTH/Matematisk statistik

   Författare :Christopher Herron; André Zachrisson; [2020]
   Nyckelord :Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

   Sammanfattning : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. LÄS MER