Sökning: "Black-Scholes model"

Visar resultat 1 - 5 av 87 uppsatser innehållade orden Black-Scholes model.

1. 1. The Predictive Power of Implied Volatility in Option Pricing

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Lovisa Berglund; [2023]
   Nyckelord :Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

   Sammanfattning : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. LÄS MER

3. 2. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

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

   Författare :Nicolas Kuiper; Martin Westberg; [2023]
   Nyckelord :Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

   Sammanfattning : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. LÄS MER

4. 3. Artificial Intelligence for Option Pricing

   Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

   Författare :Emil Hietanen; [2022-06-19]
   Nyckelord :Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

   Sammanfattning : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. LÄS MER

5. 4. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study

   Kandidat-uppsats,

   Författare :Isak Meding; Viking Zandhoff Westerlund; [2022-04-07]
   Nyckelord :Option pricing; Black-Scholes; Monte Carlo simulation; Jump Diffusion process;

   Sammanfattning : Option pricing is a central concept in finance. Since F. Black and M. Scholes in troduced their formula for pricing options in 1973 it has been widely adopted, but it has also been proven to have some limitations in its inherent assumptions and thus subsequent performance. LÄS MER

7. 5. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

   Författare :Joel Forsberg; [2022]
   Nyckelord :Swaptions; Clearinghouse; Compression; Interest rate swap;

   Sammanfattning : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. LÄS MER