Sökning: "Black-Scholes-Barenblatt"

Hittade 2 uppsatser innehållade ordet Black-Scholes-Barenblatt.

1. 1. Analysis of An Uncertain Volatility Model in the framework of static hedging for different scenarios

   Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Författare :Alena Sdobnova; Jakub Blaszkiewicz; [2008]
   Nyckelord :static hedging; Black-Scholes-Barenblatt; uncertainty; worst-case scenario; UVM;

   Sammanfattning : In Black-Scholes model, the parameters -a volatility and an interest rate were assumed as constants. In this thesis we concentrate on behaviour of the volatility as a function and we find more realistic models for the volatility, which elimate a risk connected with behaviour of the volatility of an underlying asset. LÄS MER

3. 2. Valuation of portfolios under uncertain volatility : Black-Scholes-Barenblatt equations and the static hedging

   Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Författare :Anna Kolesnichenko; Galina Shopina; [2007]
   Nyckelord :volatility; Black-Scholes-Barenbladt; finite differences method;

   Sammanfattning : The famous Black-Scholes (BS) model used in the option pricing theory contains two parameters - a volatility and an interest rate. Both parameters should be determined before the price evaluation procedure starts. Usually one use the historical data to guess the value of these parameters. LÄS MER